Search results for query: Prymon

1. The Impact of Market Liquidity on the Effectiveness of Option Valuation With the Black-Scholes-Merton Model on the Example of WIG20 Index
   

   Author: Michał Prymon

   See Issue Contents: fins.2022.1

   Abstract:

   The Black-Scholes-Merton model is one of the most popular option pricing models used in a market practice. This model is based on the unrealistic assumptions, including for example lack of transaction costs. While it is not possible to satisfy all the conditions of the model, it is logical to assume that perfectly liquid markets will meet them better, which will help to reduce the risk of error. The aim of the article is to measure the impact of liquidity to divergence of Black-Scholes-Merton model in comparison to real market closing prices. The result of research demonstrates moderate dependence between the volume of the WIG20 index, the volume of option transactions and a negative correlation with ILLIQ illiquidity indicator introduced by Amihud (2002). The results of the research lead to the conclusion that there is a positive correlation between the liquidity and the divergency between BSM model and the market prices.

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2. Comparative analysis of dividend payouts by national and international dividend companies for the period 2013-2019
   

   Author: Bartłomiej Jabłoński

   See Issue Contents: fins.2020.1

   Abstract:

   The author of the article outlined the results of the research on the taxonomy and the specificity of the transfer of profits to shareholders of dividend companies which are components of the WIG, DAX, CAC40 and S&P 500 indexes for the period 2013-2019.The purpose of the article is a critical assessment of the systematic distribution of dividends by domestic and international companies, taking into account the rate of dividend growth, the cumulated rate of dividends and the average rate of return on investments in shares of these companies. The studies carried out included 120 companies listed on the Polish, German, French and American markets (30 companies in each country), which in the period 2013-2019 paid dividends and at the end of 2019 had the highest capitalization in a given index. Then the author analysed for each market only those issuers who paid the dividends without interruption during the period considered (continuously for 7 years)

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