Anna Rutkowska-Ziarko

Anna Rutkowska-Ziarko
University of Warmia and Mazury in Olsztyn · Department of Finance

PhD

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30
Publications
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74
Citations

Publications

Publications (30)
Article
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Diversity and financial inclusion are at the top of boardroom agendas across the financial services industry. An inclusive financial environment ensures equitable access to resources and opportunities for all. Diversity & financial inclusion is crucial for future financial management industry and its success is determined by the ability to create a...
Article
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Companies in the energy sector, due to their important role in the economy and the specificity of energy sources, are exposed to many types of risk, ranging from the risk associated with the company’s operations and the global economic and political situation in the world. Energy companies are usually large capital companies whose shares are listed...
Article
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This article presents the results of empirical research conducted among audit firms in Poland regarding the factors hindering the provision of non-financial information verification and attestation services. The rapidly developing practice of non-financial reporting among socially responsible entities in Poland does not translate into the number of...
Article
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The main purpose of this study was to explore the relationship between market and accounting measures of risk and the profitability of companies listed on the Frankfurt Stock Exchange. An important aspect of the study was to employ accounting beta coefficients as a systematic risk measure. The research considered classical and downside risk measure...
Article
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In recent years, many companies have been issuing non-financial information which is used by a wide range of stakeholders in their decision-making processes. Considering the fact that such reports play an important role in financial markets, the information they provide should be submitted to verification by an external, independent body. Our study...
Conference Paper
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The aim of the study is to verify the pricing of assets in the Polish capital market using CAPM extended version. In the research, in addition to market risk in the form of a beta coefficient, the variables adopted for the model were the fundamental ratios used to analyse profitability, ROA and ROE. Market risk was considered in a variance and down...
Conference Paper
Full-text available
The classical models for construction of investment portfolio takes into account only two criteria for assessing investment opportunities: expected return and risk measured with a variance This approach can be criticized for several reasons. Firstly, it takes into account only information that is revealed in the market prices of the stock. However...
Article
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p>Theoretical background: The variability of the company’s profitability is the result of the accompanying risk. To compare the profitability of many companies, relative profitability measures, which include profitability ratios, are more convenient. This article analyses market and accounting risk factors of CAPM. Risk was considered in variance a...
Chapter
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The aim of the study was to examine the correlation between the accounting profitability of the company and its rate of return on the capital market. In addition, betas and accounting betas were compared. The correlation between total variability and semi-variability of profitability ratios and rates of return was also analysed. The risk of a compa...
Article
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Anna Rutkowska-Ziarko , Christopher Pyke The Development of Downside Accounting Beta as a Measure of Risk Abstract This paper develops a new method for measuring market risk called Downside Accounting Beta (DAB). To test the validity of DAB the method is applied to the financial data for 14 food companies listed on the Warsaw Stock Exchange dur...
Article
The aim of the research is to compare the efficiency of managing selected Polish investment funds in various phases of stock market condition. The Value at Risk (VaR) and Conditional Value at Risk (CVaR) is used to construct efficiency ratios of fund management. Those funds investing in financial instruments have the most stable expected rate of re...
Article
This article focuses on one of the most controversial issues frequently discussed by many including politicians, academics and the media in the UK and Poland: migration of Polish people to Britain. The main aim is to identify the important factors causing migration of Poles within the UK. In this article, the authors seek to study the pull factors,...
Article
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Abstract. The subject of the study were market multiples’ anomalies. Analyses were focused upon food companies listed on the Warsaw Stock Exchange. The differences in rates of return between portfolios formed from companies with low market multiples and with high ones, were discussed. Not only classic market multiples, like price to earnings and pr...
Article
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A study was conducted of 15 food companies listed on the Warsaw Stock Exchange. The profitability of companies was measured by: return on assets (ROA), return on equity (ROE) and return on sales (ROS). Investment risk was measured by standard deviation and semi-deviation. The main objective of the study was to examine whether the average level and...
Article
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Abstract: Th e following considerations are based on the concept of the fundamental portfolio as was proposed by [Tarczyński 1995]. In addition, in this article semi-variance, as an alternative to variance, was used as a measure of risk. Th e paper aims to propose and present empirical verifi cation of the iterative algorithm for risk diversifi cat...
Article
In models for creating a fundamental portfolio, based on the classical Markowitz model, the variance is usually used as a risk measure. However, equal treatment of negative and positive deviations from the expected rate of return is a slight shortcoming of variance as the risk measure. Markowitz defined semi-variance to measure the negative deviati...
Chapter
Full-text available
In the classic Markowitz model, at an assumed profitability level, the portfolio risk is minimized. The fundamental portfolio introduces an additional condition aimed at ensuring that the portfolio is only composed of companies in good economic condition. A synthetic indicator is constructed for each company, describing its economic and financial s...
Article
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The immediate objective of the study was to analyze whether the downside risk is priced at the Warsaw Stock Exchange. The intermediate objective was to analyze changes in the parameters in the capital asset pricing models at different trend cycles of the stock exchange market. It was found that semi-variance had a more noticeable effect on the capi...
Article
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The main aim of research was to check if downside risk is priced at Warsaw Stock Exchange. The analyzing of changing in models parameters in different phase of economic situation was the additional aim. Semi-variance was better measure of risk then variance in capital asset pricing model. The best way is use semi-beta and classic beta together in o...
Article
Full-text available
RATES OF RETURN DISTRIBUTIONS VARIATION – IMPLICATIONS FOR PORTFOLIO ANALYSIS Lesław Markowski, Anna Rutkowska-Ziarko Department of Quantitative Methods University of Warmia and Mazury in Olsztyn K e y w o r d s: portfolio analysis, semi-variance, time series stationarity. Abstract The paper presents the properties of the rates of return distributi...
Article
Full-text available
In the classic Markowitz model, risk is measured by the return rates variance. However, equal treatment of negative and positive deviations from the expected return rate is a slight shortcoming of variance as the risk measure. Markowitz defined semi-variance to measure the negative deviations only. However, finding the portfolio with minimum semi-v...

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Projects (2)
Project
I use the financial date to calculating systematic risk