All Outputs (3)

Inter-regional and region-specific transmission of international stock market returns: The role of foreign information (2008)
Journal Article
Ibrahim, B. M., & Brzeszczynski, J. (2009). Inter-regional and region-specific transmission of international stock market returns: The role of foreign information. Journal of International Money and Finance, 28(2), 322-343. https://doi.org/10.1016/j.jimonfin.2008.03.002

This paper uses stochastic-parameter regressions to analyze the role of foreign information on the return equivalent of the heat wave and meteor shower hypotheses of Engle et al. [Engle, R.F., Ito, T., Lin, W., 1990 Meteor showers or heat waves? Hete... Read More about Inter-regional and region-specific transmission of international stock market returns: The role of foreign information.

Institutional investors and stock returns volatility: Empirical evidence from a natural experiment (2008)
Journal Article
Bohl, M. T., Brzeszczyński, J., & Wilfling, B. (2009). Institutional investors and stock returns volatility: Empirical evidence from a natural experiment. Journal of Financial Stability, 5(2), 170-182. https://doi.org/10.1016/j.jfs.2008.02.003

In this paper, we provide empirical evidence on the impact of institutional investors on stock market returns dynamics. The Polish pension system reform in 1999 and the associated increase in institutional ownership due to the investment activities o... Read More about Institutional investors and stock returns volatility: Empirical evidence from a natural experiment.

Performance of high dividend yield investment strategy on the Polish stock market 1997-2007 (2008)
Journal Article
Brzeszczynski, J., & Gajdka, J. (2008). Performance of high dividend yield investment strategy on the Polish stock market 1997-2007. Investment Management and Financial Innovations, 5(2), 86-92. https://www.businessperspectives.org/index.php/journals/investment-management-and-financial-innovations/issue-71/performance-of-high-dividend-yield-investment-strategy-on-the-polish-stock-market-1997-2007

The subject of this analysis is the profitability of an investment strategy focused on high dividend yield stocks from the Polish stock market. We follow the idea from Visscher and Filbeck (2003) and construct portfolios of top ten highest dividend y... Read More about Performance of high dividend yield investment strategy on the Polish stock market 1997-2007.