Zalewska, Jus yna; Neh ebecka, Na alia
A icle
Liquidi y and sol ency o a company and he a e o
e u n: An analysis o he Wa saw S ock Exchange
Cen al Eu opean Economic Jou nal (CEEJ)
P o ided in Coope a ion wi h:
Facul y o Economic Sciences, Uni e si y o Wa saw
Sugges ed Ci a ion: Zalewska, Jus yna; Neh ebecka, Na alia (2019) : Liquidi y and sol ency o a
company and he a e o e u n: An analysis o he Wa saw S ock Exchange, Cen al Eu opean
Economic Jou nal (CEEJ), ISSN 2543-6821, Sciendo, Wa saw, Vol. 6, Iss. 53, pp. 199-220,
h ps://doi.o g/10.2478/ceej-2019-0013
This Ve sion is a ailable a :
h ps://hdl.handle.ne /10419/324506
S anda d-Nu zungsbedingungen:
Die Dokumen e au EconS o dü en zu eigenen wissenscha lichen
Zwecken und zum P i a geb auch gespeiche und kopie we den.
Sie dü en die Dokumen e nich ü ö en liche ode komme zielle
Zwecke e iel äl igen, ö en lich auss ellen, ö en lich zugänglich
machen, e eiben ode ande wei ig nu zen.
So e n die Ve asse die Dokumen e un e Open-Con en -Lizenzen
(insbesonde e CC-Lizenzen) zu Ve ügung ges ell haben soll en,
gel en abweichend on diesen Nu zungsbedingungen die in de do
genann en Lizenz gewäh en Nu zungs ech e.
Te ms o use:
Documen s in EconS o may be sa ed and copied o you pe sonal
and schola ly pu poses.
You a e no o copy documen s o public o comme cial pu poses, o
exhibi he documen s publicly, o make hem publicly a ailable on he
in e ne , o o dis ibu e o o he wise use he documen s in public.
I he documen s ha e been made a ailable unde an Open Con en
Licence (especially C ea i e Commons Licences), you may exe cise
u he usage igh s as speci ied in he indica ed licence.
h ps://c ea i ecommons.o g/licenses/by-nc-nd/4.0/
ISSN: 2543-6821 (online)
Jou nal homepage: h p://ceej.wne.uw.edu.pl
To ci e his a icle
Zalewska, J., & Neh ebecka, N. (2019). Liquidi y and sol ency o a company
and he a e o e u n – an analysis o he Wa saw S ock Exchange.
Cen al Eu opean Economic Jou nal, 6(53), 199-220.
DOI: 10.2478/ceej-2019-0013
To link o his a icle: h ps://doi.o g/10.2478/ceej-2019-0013
Liquidi y and sol ency o a company
and he a e o e u n – an analysis
o he Wa saw S ock Exchange
Jus yna Zalewska,
Na alia Neh ebecka
Open Access. © 2019 J. Zalewska, N. Neh ebecka, published by Sciendo.
This wo k is licensed unde he C ea i e Commons A ibu ion-NonComme cial-NoDe i a i es 3.0 License.
Jus yna Zalewska
Facul y o Economic Sciences, Uni e si y o Wa saw , Wa saw, Poland,
Na alia Neh ebecka
Facul y o Economic Sciences, Uni e si y o Wa saw , Wa saw, Poland,
co esponding au ho : nneh [email protected]
Liquidi y and sol ency o a company and he a e o e u n –
an analysis o he Wa saw S ock Exchange
Abs ac
The pu pose o he a icle is o analyse he impac o a ious inancial a ios used o e alua e a company’s liquidi y
and sol ency on he a es o e u n on he sha es o companies lis ed on he Wa saw S ock Exchange. In he con ex o
de eloping coun ies, he ela ionship be ween liquidi y and sol ency on he one hand and he e u n on equi y on he
o he is s ill no clea . Poland is he mos economically de eloped coun y in Cen al and Eas e n Eu ope. A ho ough
analysis is necessa y o ake app op ia e ac ion and in oduce adequa e egula ions in he coun y, as well as o c ea e
he ounda ion o esea ching o he economies in his egion. In addi ion, his a icle includes new es ima o s ha
ha e no ye been aken in o accoun bu ha may a ec he a es o e u n, which will con ibu e o he li e a u e on
he subjec and o he de elopmen o knowledge on he ola ili y o e u ns on sha es. In he s udy, we ha e calcula-
ed he ime- a ying be a coe icien s o he capi al asse p icing model (CAPM) model and analysed po olios based
on h ee liquidi y a ios and ou sol ency a ios, which we e compu ed using he CAPM, Fama–F ench and Ca ha
models. The empi ical s udy desc ibed in he a icle ocuses on companies lis ed on he Wa saw S ock Exchange in he
pe iod om 1 Janua y 1999 o 30 June 2013. Reg essions we e es ima ed by he leas -squa es me hod and by quan ile
eg ession. Based on he esul s, i was ound ha lis ed companies a isk o bank up cy a e able o mee hei sho -
e m liabili ies. Liquidi y and sol ency measu ed by inancial a ios signi ican ly a ec he sensi i i y o he a e o
e u n on sha es o he isk ac o s exp essed in he CAPM, Fama––F ench and Ca ha models.
Keywo ds
liquidi y | sol ency | asse p icing models | CAPM | po olio analysis
JEL Codes
G12, G32, G33, G35
1 In oduc ion
The ola ili y o a es o e u n and i s de e minan s
a e e y o en analysed in he a ailable li e a u e. In
he cou se o esea ch, he capi al asse p icing model
(CAPM) model, which es s he sensi i i y o a gi en
asse o ma ke isk, was c ea ed. Then, i s ex ensions
appea ed, he mos popula o which a e he Fama–
F ench and Ca ha models. They usually p o ide a
sa is ac o y explana ion o he beha iou o a es o
e u ns, bu he ob ained esul s show ha he e is an
addi ional ac o ha should be aken in o accoun .
One o he ideas o augmen ing business asse p icing
models is inco po a ing he company’s liquidi y o
sol ency in o analysis.
Based on he li e a u e e iew, he e a e s udies
on he ola ili y o e u ns on sha es ha ake in o
conside a ion he liquidi y o sol ency o a i m.
Howe e , hese analyses o en cen e on s ock
exchanges in he Uni ed S a es and a e usually e y
ad anced due o he deg ee o de elopmen o he US
economy. Cu en s udies also e i y new es ima o s
ha may a ec he a es o e u n and ha ha e no
been used in p e ious esea ch. Conclusions om
esea ch on he US s ock ma ke a e usually ans e ed
o less-economically de eloped coun ies, which
CEEJ • 6(53) • 2019 • pp. 199-220 • ISSN 2543-6821 • DOI: 10.2478/ceej-2019-0013 201
c ea es ano he g oup o analyses. Qui e o en, hey
ocus on g adually ex ending he esea ch ca ied ou
so a by e i ying he e ec s iden i ied in he Uni ed
S a es. The e is also a ca ego y o esea ch s udies
on eme ging ma ke s, which mos o en deal wi h
pinpoin ing basic co ela ions. Wi h ega d o he
analyses o he Wa saw S ock Exchange, he e is s ill
oom o u he esea ch in his ield. Conclusions
om he analysis o he esul s o asse alua ion
models di e depending on he adop ed measu e o
liquidi y o sol ency (Lischewski and Vo onko a,
2012). I is, he e o e, wo h pe o ming an analysis o
he easibili y o hi he o-un es ed indica o s.
The pu pose o he a icle is o analyse he
in luence o a ious inancial a ios o he assessmen
o a company’s liquidi y and sol ency on he a es
o e u n on s ocks o he companies lis ed on he
Wa saw S ock Exchange. We u ilised liquidi y a ios
such as he cu en liquidi y a io, he quick a io
and he wo king capi al a io. We also adop ed ou
sol ency a ios: Al man Z-sco e, he deb a io, he
le e age a io and he ixed asse co e age a io.1 In he
case o de eloping coun ies, he ela ionship be ween
liquidi y and sol ency on he one hand and he e u n
on equi y on he o he is s ill unclea . Poland is he
mos economically de eloped coun y in Cen al
and Eas e n Eu ope. A ho ough analysis is equi ed
o ake app op ia e ac ion and in oduce necessa y
egula ions in he coun y, as well as o c ea e he basis
o esea ching o he economies in his egion.
The empi ical s udy p esen ed in he a icle
ocuses on companies lis ed on he Wa saw S ock
Exchange in he pe iod om 1 Janua y 1999 o 30 June
2013. I consis s o wo s ages. The i s s ep in ol es
p esen ing he beha iou o mean and median alues
o ime- a ying be a coe icien s o he CAPM model
ac oss he quan iles o he sol ency and liquidi y
a ios. The second s ep aims o illus a e he esul s
ob ained om he CAPM, Fama–F ench and Ca ha
asse p icing models acco ding o he po olios
buil on he basis o liquidi y and sol ency a ios.
The me hodology adop ed in he a icle is classical
eg ession es ima ed by he leas -squa es me hod and
quan ile eg ession.
In he empi ical s udy, wo hypo heses we e
assumed. The i s main hypo hesis was ha
1 Gab usiewicz (2014) discusses he deb a e and he asse
co e age a io as es ima o s o a company’s sol ency
and inancial independence, espec i ely. The le e age
a io is applied as a measu e o sol ency in Medha ’s
esea ch (2014).
companies a isk o bank up cy a e able o mee hei
sho - e m obliga ions. This ela ionship was p o ed
by Medha (2014) o companies lis ed on Ame ican
s ock exchanges. Poland is a a much lowe le el han
he Uni ed S a es in e ms o economic de elopmen ,
bu as men ioned ea lie , i is a leade in he egion
o Cen al and Eas e n Eu ope. The e o e, i seems
in e es ing o check whe he he co ela ion obse ed
on he US s ock exchanges is ue o he Wa saw
S ock Exchange.
The second hypo hesis was ha liquidi y and
sol ency measu ed by inancial a ios signi ican ly
a ec he sensi i i y o he a e o e u n on sha es o
isk ac o s exp essed in he CAPM, Fama–F ench and
Ca ha models. The in es iga ions o Li e al. (2014)
on he Tokyo S ock Exchange, Vu e al. (2015) on he
Aus alian ma ke , Co e e al. (2015) on he London
S ock Exchange, Ba en and Vo (2014) on Vie nam,
and Mino ić and Ži ko ić (2012) on Se bia, as well as
he s udies o he Ame ican s ock exchanges, sugges
ha he e is no eason o ejec he abo e hypo hesis.
The e o e, he co ela ion seems o occu ega dless o
he deg ee o he coun y’s economic de elopmen and
o i s speci ic na u e. The suspicion ha he desc ibed
ela ionship is also alid o Poland is, he e o e,
indica ed and wo h examining.
The a icle is di ided in o he ollowing sec ions.
Sec ion 2 ou lines he heo e ical issues in he a ea o
a es o e u n, o asse -p icing me hods, as well as
he liquidi y and sol ency o a i m. The nex sec ion
(Sec ion 3) p esen s esea ch o da e on he e ec o
liquidi y and sol ency on a es o e u n on equi y
o companies. The las sec ion (Sec ion 4) o e s an
examina ion o he impac o liquidi y and sol ency
on he a es o e u n on sha es o companies lis ed
on he Wa saw S ock Exchange. I also con ains a
desc ip ion o he da a and he u ilised me hodology.
Finally, he main conclusions and a summa y o he
a icle a e p esen ed.
2 Theo e ical ounda ions o
esea ch on he a e o e u n
on sha es
The ou pu o economic heo y in he ield o liquidi y
and sol ency o a i m, me hods o asse alua ion and
explana ion o e u ns on sha es is copious and s ill
g owing. In o de o loca e ou conside a ions wi hin
CEEJ • 6(53) • 2019 • pp. 199-220 • ISSN 2543-6821 • DOI: 10.2478/ceej-2019-0013 202
he delinea ed economic concep s, his sec ion lis s he
mos impo an issues ela ed o he subjec o analysis.
While p esen ing he a es o e u n on sha es, i
is impossible no o e e o he isk in ol ed in hem.
This isk can ha e wo dimensions (Dębski, 2014).
One o hem is he isk a ising om he haza ds ha
h ea en a speci ic company and a e cha ac e is ic only
o i and, possibly, se e al o i s compe i o s. This
aspec is called idiosync a ic isk, and i s elimina ion
is possible h ough po olio di e si ica ion. The e
is also a isk ha canno be emo ed by any measu e
because i s ems om mac oeconomic ac o s
a ec ing all companies ha ope a e wi hin a gi en
economic sys em. I is de ined as sys emic isk, and
e e y in es o is exposed o i . These issues unde lie
he p icing o asse s, and hus, hei cla i ica ion is
necessa y o de ine asse alua ion models.
F om an in es o ’s pe spec i e, i is e y impo an
o be awa e o he ac o s a ec ing he a es o e u n
on a company’s s ocks. The pa ame e s ha a e o en
men ioned in his con ex a e he company’s liquidi y
and sol ency. I should be emembe ed ha examining
a company’s si ua ion in his espec equi es a clea
de ini ion o liquidi y and sol ency. The dis inc ion
be ween inancial liquidi y, sol ency and ading
liquidi y is c ucial he e.2 These e ms should no be
used in e changeably because hey ha e di e en
meanings.
As he subjec o asse alua ion was gaining
ac ion, a ious models explaining he beha iou o
a es o e u n on sha es appea ed in economic heo y.
The basic ool he e is he CAPM model, on he basis
o which mo e ad anced e sions such as he Fama–
F ench o Ca ha model we e la e buil . In addi ion,
he CAPM model modi ied by inco po a ing a a io
o liquidi y and a Fama–MacBe h es ima ion me hod3
s and ou .
2  In he con ex  o  e minology, Jachna and Sie pińska
(2004) addi ionally dis inguish liquidi y o asse s, which is
de inedby hepossibili yo quickexchangeo indi idual
elemen s o he company’s asse s o cash. Liquidi y
o asse s is an aspec ha a ec s he assessmen o a
company’s inancial liquidi y.
3 The CAPM model ex ended by sol ency (LCAPM) and he
Fama–MacBe h es ima ion me hod a e no used in ou
empi ical s udy, bu hey appea in he li e a u e. LCAPM
hasbeenusedin heanalysiso LischewskiandVo onko a
(2012),Hea n(2014),Mino ićandŽi ko ić(2012),B ad ania
and Pea (2013) and B ad ania and Pea (2014). The Fama–
MacBe h es ima ion me hod can be ound, among o he s,
in hewo ks o Medha (2014),Hu man andMoll (2012),
Wang (2012) and Co e e al. (2015). Hence, i is impo an
o p esen he heo y behind bo h concep s.
3 Impac o liquidi y on a es
o e u n om equi y in he
li e a u e
The analysis o ac o s a ec ing he a e o e u n on
company equi y has been e y o en pe o med in he
a ailable li e a u e. The desi e o explo e his issue
is mo i a ed by looking o a eas ha can con ibu e
o imp o ing he e u n on equi y. The ela ionships
be ween isk a ios, he company’s sol ency a ios and
he company’s indi idual cha ac e is ics on he one
hand and he a e o e u n on equi y on he o he a e
mos o en sc u inised. Mos o he au ho s d aw on
Fama and F ench’s heo y and on he CAPM model.
The majo i y o s udies on his opic a emp o
augmen he ange o explana o y ac o s by adding
a new es ima o ela ed o ei he isk o , e.g., he
condi ion o he company o he exis ing heo y.
Mos o en, in he ini ial phase, he impac o he
new indica o s is es ed on sample companies lis ed
on Ame ican s ock exchanges. This has o do wi h
he highly de eloped na u e o he US economy, he
size o he US s ock exchanges and hei long his o y.
Rega dless o he esul s o hese analyses, and
ega dless o whe he o no hey iden i y a signi ican
ela ionship, based on such esea ch, new ac o s a e
inco po a ed in o s udies on coun ies cha ac e ised
by lesse economic de elopmen han he Uni ed
S a es. The e is also a g oup o s udies ha ocus on
in es iga ing he basic ela ionships o a eas o ime
pe iods no ye conside ed in he a ailable li e a u e.
In o de o discuss he subjec o he a e o e u n
on equi y in mo e de ail, his sec ion p o ides an
o e iew o selec ed a icles, which a e di ided in o
ou g oups. The i s o hese co e s publica ions
abou companies lis ed on s ock exchanges loca ed
in he Uni ed S a es. The second includes esea ch
conduc ed on da a om he London, Singapo e,
Aus alian and Japanese s ock exchanges. They a e
less ad anced han he analyses in he i s g oup;
howe e , hey also b oaden he se o ac o s s udied so
a o imi a e he s udies concen a ing on he Uni ed
S a es. The hi d g oup comp ises a icles abou
Taiwan, Vie nam, Nige ia and Se bia, which analyse
mo e elemen a y dependencies. Finally, selec ed
s udies ca ied ou so a on companies lis ed on he
Wa saw S ock Exchange a e addi ionally p esen ed.

CEEJ • 6(53) • 2019 • pp. 199-220 • ISSN 2543-6821 • DOI: 10.2478/ceej-2019-0013 203
3.1 Resea ch on he US s ock exchanges
Companies lis ed on s ock exchanges loca ed in he
Uni ed S a es comp ise one o he mos equen ly
analysed opics. Despi e he weal h o a ailable
li e a u e, esea che s a e cons an ly ying o expand
he scope o esea ch wi h new a iables o indica o s.
A popula and widesp ead end in esea ch on he a e
o e u n on equi y o a i m is conside ing he i m’s
liquidi y o sol ency a io. Ga lappi and Yan (2011)
en e ed a company’s inancial liabili ies in o he equi y
p icing model and checked how he likelihood o
sha eholde s egaining capi al a ec s he ela ionship
be ween e u ns on equi y and he p obabili y ha he
i m will de aul , measu ed as he Expec ed De aul
F equency. Lin e al. (2011) ocused on e i ying he
s a is ical signi icance o he co ela ion be ween
he a io o sys emic liquidi y isk and he a e o
e u n on s ocks. The isk calcula ed in his analysis
is de ined as he odds o a dec ease in he alue o
s ocks a a ime when he agg ega e ma ke liquidi y
alls, while he liquidi y a io is ei he he Amihud o
he Pas o –S ambaugh a io. Palazzo (2012) p esen ed
a s udy on he cons uc ion o a model explaining
he e ec o co ela ions be ween cash lows and he
sou ce o agg ega e isk on he op imal amoun o a
company’s cash holdings. Acha ya e al. (2012) linked
cash ese es o c edi isk and demons a ed ha
he p ecau iona y p inciple has he highes p io i y
e en o companies ha issue s ocks. Hu man and
Moll (2012), when examining he a e o e u n on
a i m’s equi y, ea ed isk di e en ly compa ed o
he au ho s o he p e iously men ioned s udy. The
au ho s sc u inised he impac o asymme ical isk
a ios, such as alue a isk (VaR) and he home un
a io, on equi y e u ns.
Wang (2012), on he o he hand, looked a he
e ec o co po a e liquidi y4 on he e u n on equi y.
One o he objec i es o ha s udy was o de e mine
whe he he sol ency a io i adop s yields di e en
ou comes when explaining he le el o e u n on
equi y han do he size ac o o he company and
he a io o he company’s book alue o i s ma ke
alue. B ad ania and Pea (2013) b oadened he
cu en analyses by a la ge his o ical con ex by
examining he ela ionships be ween sol ency and
e u n on equi y o companies o he da a o he yea s
4 Co po a e liquidi y is de ined as he a io o he amoun
o cash held by a company i in mon h o he o al asse s
owned by he company i in mon h . A high alue o he
a io means high liquidi y o he company, while a low
alue indica es low sol ency.
1926–2008. The au ho s de ined he liquidi y measu e
as a s ock cha ac e is ic and applied he E ec i e
Tick4 (hence o h EFFT) EFFT es ima o based on
daily ansac ion da a, as de eloped by Holden (2009).
B ad ania and Pea (2014) de e mined whe he , in
esea ch on he a e o e u n on company equi y,
liquidi y should be ea ed as a s ock cha ac e is ic o
pe haps as a measu e a ibu ed o he en i e ma ke .
F iewald e al. (2014), on he o he hand, a emp ed o
es ima e he isk p emium o Ame ican companies
and o ie hose alues o he excess e u n on equi y.
The au ho s obse ed a posi i e co ela ion be ween
he isk p emium measu e and e u n on capi al.
Medha (2014) demons a ed ha a company’s cash
esou ces can balance low e u ns on en u e capi al.
In con as o he a ailable li e a u e on he subjec ,
which mainly e ol es a ound he heo y o capi al
s uc u e, Medha explo ed he issue o main aining
a le el o cash su icien o minimise he isk o loss
o he company’s liquidi y. Pa k (2015) spa ked a
discussion on he impac o he alue o s ocks issued
by a company on he p o i abili y o i s equi y. In o he
US a icles, Amihud’s es ima o (2002) has been a e y
equen ly applied measu e o liquidi y. Fo example,
Bali and Zhou (2016) adop ed his measu e as a
con ol a iable when es ing he obus ness o esul s
acco ding o he model speci ica ion me hod. The
main pu pose o he a o emen ioned esea ch was o
check whe he ma ke isk and economic unce ain y
ha e a signi ican and posi i e e ec on he a e o
e u n on s ocks.
The esea ch ou lined abo e was done on
Ame ican s ock exchanges. A ecu ing conclusion in
mos o he pape s is ha he common opinion abou
he highe sol ency o companies wi h la ge cash
esou ces is no ue. I has been con i med, howe e ,
ha liquidi y and sol ency a e impo an aspec s ha
explain he beha iou o e u n on sha es.
3.2 Resea ch on he s ock exchanges
in London, Singapo e, Japan and
Aus alia
The second g oup o a icles deals wi h he companies
lis ed on he s ock exchanges in London, Singapo e,
Japan and Aus alia. The eason o his g ouping
is he simila his o y o he s ock exchange in each
o hese coun ies and a simila s age o economic
de elopmen in each o hem. A kind o e e ence
poin o inspi a ion o analyses ca ied ou in
CEEJ • 6(53) • 2019 • pp. 199-220 • ISSN 2543-6821 • DOI: 10.2478/ceej-2019-0013 204
his g oup is usually esea ch based on Ame ican
companies. So and Tang (2010) ha e s udied da a o
he Singapo e S ock Exchange in o de o empi ically
e i y he use ulness o he ma ke be a coe icien ,
i m size measu es, book- o-ma ke (B/M) equi y
a io and ea nings- o-sha e a io in explaining
he e u ns on equi y. Li e al. (2014) ha e analysed
companies lis ed on he Tokyo S ock Exchange. Thei
main pu pose has been o check whe he he a e and
isk o insol ency a e echoed in he a es o e u n
on equi y o Japanese companies. Vu e al. (2015) ha e
also in es iga ed he ela ionship be ween sol ency
and e u ns on company equi y, bu o he Aus alian
ma ke . They ha e pos ula ed ha in es o s demand
highe a es o e u n on sha es o which sol ency
dec eases as ma ke liquidi y dec eases. Co e e al.
(2015) ha e examined companies lis ed on he London
S ock Exchange. The goal o hei s udy is o analyse
how sha e-speci ic isk, called idiosync a ic isk,
a ec s he a e o e u n on equi y o a i m. Wha
dis inguishes his pape is ha i includes he a iable
“ esponse o excess e u n on equi y” o sys ema ic
be a isk depending on whe he he excess e u n on
equi y is posi i e o nega i e.
The s udies p esen ed abo e ha e been ca ied
ou in geog aphic a eas wi h simila economic
de elopmen . Mos o hem suppo he conclusion
ha liquidi y and sol ency signi ican ly a ec he a es
o e u n. The liquidi y-adjus ed CAPM (LCAPM)
model is ound o be be e sui ed o he da a han he
s anda d CAPM model. Mo eo e , in hese pape s, he
mos popula app oach o asse p icing is he use o
he CAPM and he Fama–F ench models.
3.3 Resea ch on he Nige ia, Se bia,
Taiwan and Vie nam s ock exchanges
Ano he g oup o pape s comp ises esea ch
cons uc ed on he basis o da a om Nige ia, Se bia,
Taiwan and Vie nam s ock exchanges. In each o hese
ou coun ies, he du a ion o he s ock ma ke has
been qui e simila and hei economy can be desc ibed
as a de eloping ma ke . S udies cen ed on hese
coun ies mos ly e i y he basic ela ionships ha
wo k well in o he ma ke s. The scope o he analysis
is qui e na ow, and he a icles a e a he aimed a
c ea ing a base ha allows mo e ex ensi e esea ch in
he u u e.
Mino ić and Ži ko ić (2012) ha e es ed he
easibili y o using he Fama–F ench and Ca ha
models in illus a ing and o ecas ing he beha iou
o a es o e u n on capi al o companies lis ed on
he Se bian s ock ma ke .5 Conside ing he example
o Taiwan, Chen and Lee (2013) ha e gauged whe he
he isk o a company’s bank up cy has a signi ican
impac on i s e u ns on equi y and how he co ela ion
be ween hese a iables is exp essed in he Fama–
F ench and Ca ha models.6 Mo eo e , Ba en and Vo
(2014) ha e pe o med an analysis o he companies
lis ed on he Vie nam S ock Exchange. The main goal
o hei s udy is o examine he ela ionship be ween
liquidi y and s ock e u ns in his ma ke du ing he
global inancial c isis. The au ho s ha e iden i ied a
posi i e co ela ion be ween sol ency and e u ns
on capi al. The eason o his s a e o a ai s, in he
esea che s’ opinion, is a smalle deg ee o in eg a ion
o he eme ging ma ke wi h global ma ke s. As in he
case o o he ma ke s, in he case o Taiwan also, he
ela ionship be ween he be a coe icien and e u ns
on capi al u ns ou o be nega i e and s a is ically
signi ican . Hea n’s s udy (2014) on Nige ia has shown
he impac o company size and insol ency o all
companies lis ed on he local s ock exchange and
ac oss indi idual sec o s.
I canno be unequi ocally concluded om he
esea ch on eme ging ma ke s, which has been
p esen ed in his sec ion, whe he liquidi y and
sol ency signi ican ly a ec he a es o e u n. The
signi icance o hese ac o s depends on he ma ke
unde analysis, as each o hem has i s own speci ic
ci cums ances ha can a ec he esul s o he s udy.
3.4 Resea ch on he s ock exchange in
Poland
Poland is o en e e ed o as he mos ad anced
eme ging ma ke among Cen al and Eas e n
5 Be o e hey conduc he analysis p ope , hey no e
se e al ac s ha a e ue o  helocalma ke .Fi s o 
all, i is no de eloped, i has low liquidi y and he e is
alacko  anspa encyincompany epo s.Inaddi ion,
hehis o yo  hes ockexchangei sel and hehis o ical
scope o da abases a e small. These ea u es mean ha
he ela ionships no ed o  hes ockma ke  in Se bia
maydi e  om hoseobse edino he ma ke s.
6 A he beginning, i should be no ed ha he Taiwan
s ockma ke issigni ican lydi e en  om hema ke s
o de eloped coun ies, because i is e y ola ile and is
cha ac e ised by high liquidi y. T ansac ion cos s a e also
de e mined di e en ly. In addi ion, he majo g oup o
playe s in Taiwan consis s o small indi idual in es o s,
who can o en be desc ibed as unin o med.
CEEJ • 6(53) • 2019 • pp. 199-220 • ISSN 2543-6821 • DOI: 10.2478/ceej-2019-0013 205
Eu opean coun ies. The beginnings o he Wa saw
S ock Exchange da e back o 1991, so he ime pe iod
a ailable o analysis is ela i ely sho . Ne e heless,
he e a e se e al s udies wo h men ioning in he
con ex o analysing he ola ili y o e u ns on
co po a e sha es. They cons i u e he las g oup o
s udies discussed he e. Resea ch is p esen ed in he
o de om he leas o he mos complex.
The i s s udy is by Czapkiewicz and Wój owicz
(2014), who ha e assessed he easibili y o he ou -
ac o Ca ha model o da a om he Wa saw
S ock Exchange. The ou comes o empi ical analysis
e eal ha he cons uc ed po olios a e e ec i e
o he ou - ac o Ca ha model. The nex s ep in
he analysis is o pe o m c oss-sec ional eg ession
o hese po olios. He e, only he Ca ha model
is es ima ed. I u ns ou ha only he ma ke ac o
and he momen um ac o a e s a is ically signi ican
in his eg ession. Despi e he insigni icance o he
company size and capi alisa ion pa ame e s, hei
explana o y alue measu ed wi h he
2
R
a io is 60%
o he model analysing he size– alue po olios and
73% o he size–momen um po olios. As he au ho s
ha e concluded, he momen um e ec domina es
he company size e ec and i s capi alisa ion when
explaining he ola ili y o a es o s ock e u ns o
companies lis ed on he Wa saw S ock Exchange.
Waszczuk (2013) has conduc ed a mo e ex ensi e
analysis o he ola ili y o a es o e u n on sha es
o Poland. No icing he sho age o cu en analyses
on sha e p icing ends in he eme ging ma ke s, he
au ho has illed his gap by deciding o examine s ock
p icing in he pe iod om July 2002 o June 2011.
His esea ch in es iga es whe he he ela ionships
be ween he cha ac e is ics o s ocks o companies
and a es o e u n iden i ied o de eloped ma ke s
also hold ue o he Wa saw S ock Exchange. Fo
po olios, a co ela ion be ween a company’s ma ke
capi alisa ion and he momen um ac o (con inuous
capi alisa ion o pas e u ns om -12 o -2) is no ed
ega dless o he cons uc ion o he sha e po olio.
On he o he hand, he a io o he company’s book
alue o i s ma ke alue p o es o be an impo an
de e minan in explaining he c oss-sec ional
a iabili y o e u ns. In he nex s age, he au ho
examines whe he he Fama and F ench h ee- ac o
model is be e sui ed o he da a han he CAPM
model. She has concluded ha he h ee- ac o model
be e explains he a iabili y o a es o e u n o
so ed po olios based on he company’s ma ke
capi alisa ion, he B/M a io and he e e sal ac o .
Waszczuk (2013) has con ended ha liquidi y is
no signi ican ly ela ed o he alua ion o s ocks. To
diagnose whe he his is caused by he lack o e ec
o sol ency e u ns on he Wa saw S ock Exchange
o maybe by he need o use a measu e o he han
u no e o he Polish ma ke , i is wo h ci ing he
a icle by Lischewski and Vo onko a (2012). The
pu pose o hei s udy has been a comp ehensi e
analysis o he ela ionship be ween he h ee ac o s
o Fama–F ench and liquidi y and sol ency and he
a e o e u n on sha es o companies lis ed on he
Wa saw S ock Exchange in he pe iod om Janua y
1996 o Ma ch 2009. Fo he s anda d CAPM model,
he s a is ical signi icance o ee exp ession has been
shown o mos he po olios. Be a coe icien s p o e
o be posi i e and s a is ically signi ican . In he
case o he Fama–F ench model, all ac o s u n ou
o be signi ican ly di e en om ze o and posi i e.
Fu he mo e, he cons an e m shows s a is ical
signi icance, which suppo s he au ho s’ supposi ion
ha he e is a ac o ha a ec s he a es o e u n and
is no included in he model. An analysis o he esul s
o po olios so ed acco ding o sol ency shows ha
hey di e signi ican ly depending on he adop ed
sol ency a io. In addi ion, o he CAPM model,
only h ee o he 50 cons an e ms a e s a is ically
signi ican , while in he case o he Fama–F ench
model, 30% o he cons an e ms show s a is ical
signi icance. The au ho s ha e concluded ha sol ency
does no in luence he a es o e u n o companies on
he Wa saw S ock Exchange.
The a icles p esen ed abo e discuss a wide
ange o ac o s ha may a ec he a e o e u ns
on equi y as well as highligh ing he b oad scope o
me hodology ha is used in his ype o analysis. The
p edominan me hod is he heo y o Fama–F ench
and he wo-s ep eg ession o Fama–MacBe h. A
common ea u e o mos o he s udies ou lined in
his sec ion is he conside a ion o he impac o a
company’s liquidi y o sol ency on e u ns on sha es.
The au ho s apply a ious measu es o explo e his
phenomenon, bu o mos o he s udies, i can be
seen ha aking in o accoun such an es ima o
inc eases he explana o y powe o he model. In
he case o a icles analysing he Wa saw S ock
Exchange, an unambiguous ela ionship has no been
iden i ied, bu i is s ill an e ol ing opic ha is wo h
in es iga ing as he s ock ma ke and he coun y’s
economy de elop. Fu he mo e, augmen ing he
li e a u e wi h an analysis o he impac o mo e
liquidi y and sol ency a ios is s ill an open ques ion.
I seems pa icula ly in e es ing o es ima e he
CEEJ • 6(53) • 2019 • pp. 199-220 • ISSN 2543-6821 • DOI: 10.2478/ceej-2019-0013 206
impac o es ima o s ha ha e no ye been analysed
on he a es o e u n on equi y o companies lis ed
on he Wa saw S ock Exchange wi h he help o he
Fama and F ench ac o s.
4 Analysis o he impac o
liquidi y and sol ency on he
a es o e u n o companies on
he Wa saw S ock Exchange
Based on he li e a u e on he ela ionship be ween
liquidi y and sol ency and he e u ns o companies
lis ed on he Wa saw S ock Exchange, he e is s ill
oom o u he esea ch. As men ioned ea lie ,
al hough esea che s ha e no ye iden i ied an
unambiguous ela ionship in his ega d, such a
ela ionship may s ill become es ablished as he
Wa saw S ock Exchange con inues o de elop and he
coun y’s economic sys em ans o ms. Medha (2014)
has p o ed ha o companies lis ed on Ame ican
s ock exchanges, e en he leas -sol en i ms s ill hold
an amoun o cash ha is su icien o hem o se le
hei sho - e m liabili ies. Poland is a less-de eloped
ma ke han he Uni ed S a es; howe e , i is desc ibed
as he mos de eloped one in i s egion. The e o e, i
is in e es ing o check whe he companies om he
Wa saw S ock Exchange hold su icien cash o co e
hei sho - e m liabili ies, e en a he highes le el o
insol ency. Hence, he i s main hypo hesis ha we
a e going o es in his s udy s a es ha companies
a isk o bank up cy a e able o mee hei sho -
e m obliga ions. Ano he hypo hesis is ela ed o
he pape by Lischewski and Vo onko a (2012), in
which, based on non- inancial liquidi y and sol ency
measu es, i has been ound ha hese a ios do no
ha e a signi ican impac on he e u ns o companies
lis ed on he Wa saw S ock Exchange. The e o e, ou
second hypo hesis s a es ha liquidi y and sol ency
measu ed by inancial a ios signi ican ly a ec he
sensi i i y o he a e o e u ns on s ocks o isk
ac o s exp essed in he CAPM, Fama–F ench and
Ca ha models. The conclusion by Lischewski and
Vo onko a (2012) is ha he ola ili y o he esul s
o asse alua ion models depends on he adop ed
sol ency o liquidi y a io. The e o e, aking in o
accoun he sol ency and liquidi y a ios ha do no
appea in he discussed li e a u e and examining hei
impac on he a es o e u ns on equi y o companies
lis ed on he Wa saw S ock Exchange is ce ainly he
dis inguishing aspec o he s udy desc ibed in his
pape .
The desc ip ion o his s udy is di ided in o h ee
pa s. The i s sec ion con ains he p esen a ion o
da a and hei p elimina y analysis. The nex pa
desc ibes he deployed me hodology. The las sec ion
con ains he indings and conclusions o he esea ch
di ided in o wo s ages. The pu pose o he i s
s age is o illus a e how he alues o be a a iables
om he CAPM model change o e ime depending
on he po olios c ea ed on he basis o liquidi y and
sol ency a ios. The second s age aims o examine
he impac o isk ac o s included in he CAPM,
Fama–F ench and Ca ha models o po olios buil
he same way.
4.1 Da a desc ip ion
This empi ical s udy was conduc ed o companies
lis ed on he Wa saw S ock Exchange in he pe iod
om 1 Janua y 1999 o 30 June 2013. I equi ed
de ining he isk- ee a e and ma ke index o Poland.
In p ac ice, mos o en, he isk- ee a e is assumed as
he yield on T easu y bonds o he in e -bank ma ke
a e (e.g. Wa saw In e bank O e Ra e [WIBOR])
(Jajuga and Jajuga, 2006). Howe e , i should be
emembe ed ha e en easu y secu i ies a e no isk-
ee, so when speaking abou a isk- ee a e, we mus
adop he a e wi h he lowes possible isk a a gi en
ime among he a ious ypes o inancial asse s.
This a icle adop s WIBOR3M as he isk- ee a e.
Addi ionally, he ob ained esul s we e con i med
agains he p o i abili y o 5-yea o 10-yea T easu y
bonds. The ma ke index is Wa szawski Indeks
Giełdowy (Wa saw S ock Exchange Index o WIG).7
The alues o he ac o s MKT, SMB, HML and WML8
come om ou own calcula ions conduc ed o he
pu pose o his a icle. The s udy used h ee liquidi y
a ios and ou company sol ency a ios (Table 1).
7  WIGisalsousedasama ke indexbyCzapkiewiczand
Wój owicz (2014), Waszczuk (2013) and Lischewski and
Vo onko a(2012).
8  MKT-ma ke  ac o a  imek in acco dance wi h Fama
and F ench (1992); SMB - company size ac o a ime k
in acco dance wi h Fama and F ench (1992); HML - ac o
o acompany’sbook alue oi sma ke  aluea  imek
in acco dance wi h Fama and F ench (1992); WML – he
momen um ac o a ime k in acco dance wi h Fama
and F ench (1992).
CEEJ • 6(53) • 2019 • pp. 199-220 • ISSN 2543-6821 • DOI: 10.2478/ceej-2019-0013 213
Pe cen ile o Al man’s Z-sco e
Pe cen ile o he cu en a io
Mean/median o he be a coe icien
Mean/median o he be a coe icien
Mean/median o he be a coe icien
Mean/median o he be a coe icien
Mean/median o he be a coe icien
Mean/median o he be a coe icien
Pe cen ile o he le e age a io
Pe cen ile o he ne wo king capi al a io
Le e age a io and mon hly be a
Ne wo king capi al a io and mon hly be a
Pe cen ile o he ixed asse co e age a io
Pe cen ile o he quick a io
Fixed asse co e age a io and mon hly be a
The quick a io and mon hly be a
Cu en a io and mon hly be a
Al man’s Z-sco e and mon hly
be a
Jus yna Zalewska, Na alia Neh ebecka (2020)
Mean/median o he be a coe icien
Pe cen ile o he deb a io
Deb a io and mon hly be a
Deb a io and mon hly be a
Fig. 5: Liquidi y and sol ency a ios e sus mon hly be a. Sou ce: Zalewska and Neh ebecka (2020).

CEEJ • 6(53) • 2019 • pp. 199-220 • ISSN 2543-6821 • DOI: 10.2478/ceej-2019-0013 214
whe e
´
,jk
R
– mean a e o e u n on po olio j in
ime k;
´
k
R
– a e age isk- ee a e a ime k; ,jk
R
σ
-
s anda d de ia ion o he a es o e u n on po olio j.
The Sha pe a io (Pa e son, 2011) allows us o
assess whe he he e u n on in es men compensa es
o he isk incu ed by he in es o . I is he a io o
he di e ence be ween he a e age a e o e u n on
in es men and he a e age isk- ee a e o e u n
o he s anda d de ia ion o he a es o e u n on
in es men . The e o e, he highe his a io is, he
mo e a ou able he in es men should be.
Tables 2–8 show he esul s o he es ima ed
models. Fo each measu e, alpha coe icien s om
CAPM, Fama–F ench and Ca ha models, he be a
coe icien om he CAPM model and he Sha pe
a io we e p esen ed. On he le side o he able,
we can see he esul s es ima ed by he leas -squa es
me hod. On he igh , he e a e he esul s o quan ile
eg ession.
The ou comes o his pa o he analysis
demons a e ha he be a coe icien s om he CAPM
model a e posi i e, close o uni y and s a is ically
signi ican o each model o all liquidi y and sol ency
a ios. In each case, hey had alues >0.7, and 76% o
hem we e >0.9. Howe e , as in he i s s ep o he
esea ch, he e also, no clea end in he beha iou
o be a depending on he pe cen ile o he liquidi y
a io o sol ency o he company has been iden i ied.
Medha ’s (2014) conclusion abou he mono onic end
in be a alues ac oss liquidi y po olios has no been
suppo ed. Po olios buil on he basis o sol ency
a ios a e, he e o e, sensi i e o ma ke isk; hei
e u ns beha e almos he same as, o e en mo e
han, he p o i a e o he en i e ma ke . The e is no
mono onic (nega i e o posi i e) ela ionship be ween
he inc ease o dec ease in sol ency and he le el o
company sensi i i y o ma ke isk.
As o he alpha coe icien s, only ou o hem
(9.5%) a e di e en om ze o a he signi icance le el
o 0.05. Mo eo e , a small pe cen age o signi ican
a ios we e iden i ied o SMB, HML and WML isk
ac o s.15 The e we e 14%, 29% and 21% coe icien s
di e en om ze o, espec i ely, a he 0.05
signi icance le el.
15 The SMB ac o is a company size ac o , HML is a ac o
associa ed wi h anomalies in he a io o a company’s
book alue oi sma ke  alue,andWMLis heso-called
momen um ac o .
Tab. 2: Po olios c ea ed o he cu en a io: models es ima ed wi h he leas -squa es me hod (le ) and quan ile eg ession ( igh ).
123 456 78910 1 2 3 4 5 6 7 8 9 10
CAPM
α
–0.019 0.008 –0.004 0.009 0.02** 0.006 0.009 0.018* –0.003 –0.006 –0.018** 0.001 –0.008 0.013** 0.020 –0.006 0.004 0.012 –0.005 –0.007
FF
α
–0.022 0.008 –0.005 0.011 0.022** 0.008 0.009 0.015 –0.001 –0.004 –0.020** –0.003 –0.012** 0.023*** 0.031 –0.007 0.005 0.008 –0.005 –0.004
Ca ha
α
–0.023 0.004 –0.004 0.016 0.022** 0.005 0.004 0.013 –0.006 –0.005 –0.011 –0.001 –0.011** 0.024*** 0.033 –0.009 –0.001 0.007 –0.006 –0.001
CAPM
β
1.116*** 1.120*** 1.036*** 1.09*** 1.191*** 1.042*** 1.106*** 1.179*** 1.052*** 0.954*** 1.006*** 1.087*** 1.014*** 1.162*** 1.14*** 0.966*** 1.119*** 1.169*** 1.008*** 0.889***
l.
qua e
71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71
The
Sha pe
a io
–0.981 –0.810 –1.083 –0.819 –0.746 –1.002 –0.89 –0.735 –0.939 –0.945 –0.982 –0.811 –1.083 –0.819 –0.746 –1.002 –0.89 –0.735 –0.939 –0.945
No es: CAPM
α
- he alpha coe icien (absolu e e m) om he CAPM model;
FF
α
- he alpha coe icien (absolu e e m) om he Fama–F ench model; Ca ha
α
- he alpha
coe icien (absolu e e m) om he Ca ha model; CAPM
β
- be a coe icien om he CAPM model; l. qua e – he numbe o qua e s; The Sha pe a io.-
,
´´
, - R
Sha pe = ójk
jk k
R
R
whe e
´
,jk
R
– mean a e o e u n on po olio j in ime k;
´
k
R
– a e age isk- ee a e a ime k; ,jk
R
σ
- s anda d de ia ion o he a es o e u n on po olio j.
Sou ce: Zalewska and Neh ebecka (2020).
CEEJ • 6(53) • 2019 • pp. 199-220 • ISSN 2543-6821 • DOI: 10.2478/ceej-2019-0013 215
Tab . 3. Po olios c ea ed o he Al man Z-sco e: models es ima ed wi h he leas -squa es me hod (le ) and quan ile eg ession ( igh )
12345678910 12345678910
CAPM
α
–0.019 0.008 –0.004 0.009 0.02 0.006 0.009* 0.018** –0.003 –0.006 –0.018** 0.001 –0.008 0.013 0.020** –0.006 0.004 0.012 –0.005 –0.007
FF
α
–0.023 0.008 –0.005 0.012 0.022 0.008 0.009** 0.015** –0.001 –0.004 –0.020** –0.003 –0.012 0.023** 0.031*** –0.007 0.005 0.008 –0.005 –0.004
Ca ha
α
–0.024 0.004 –0.004 0.016 0.022 0.005 0.004** 0.013 –0.006 –0.005 –0.011 –0.001 –0.011 0.024** 0.033***–0.009 –0.001 0.007 –0.006 –0.001
CAPM
β
1.116*** 1.120*** 1.036*** 1.09*** 1.191*** 1.042*** 1.106*** 1.179*** 1.052*** 0.954*** 1.006*** 1.087*** 1.014*** 1.162*** 1.14*** 0.966***1.119*** 1.169*** 1.008***0.889***
l.
qua e
71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71
The
Sha pe
a io
–0.982 –0.811 –1.083 –0.819 –0.746 –1.002 –0.89 –0.735 –0.939 –0.945 –0.982 –0.811 –1.083 –0.819 –0.746 –1.002 –0.89 –0.735 –0.939 –0.945
No es:
CAPM
α
- he alpha coe icien (absolu e e m) om he CAPM model; FF
α
- he alpha coe icien (absolu e e m) om he Fama–F ench model; Ca ha
α
- he alpha
coe icien (absolu e e m) om he Ca ha model; CAPM
β
- be a coe icien om he CAPM model; l. qua e – he numbe o qua e s; The Sha pe a io.
Sou ce: Zalewska and Neh ebecka (2020).
Tab . 4: Po olios c ea ed o he le e age a io: models es ima ed wi h he leas -squa es me hod (le ) and quan ile eg ession ( igh ).
12345678910 12345678910
CAPM
α
–0.01 –0.014 –0.006 0.006 –0.002 0.002 0.02** 0.014* 0.014 0.012 –0.005 –0.017* –0.010 –0.002 –0.008 –0.002 0.008 0.009 0.013 0.018*
FF
α
–0.014 –0.013 –0.006 0.006 –0.001 0.004 0.021** 0.014 0.016 0.013 –0.008 –0.015 –0.010 0.005 –0.005 0.00 0.012* 0.016 0.017 0.016
Ca ha
α
–0.015 –0.015 –0.002 0.006 –0.006 –0.003 0.018* 0.014* 0.009 0.012 –0.016 –0.017 –0.013 0.005 –0.01 0.002 0.007 0.017 0.001 0.021*
CAPM
β
1.206***0.989***1.042***1.064***1.025*** 1.076*** 1.151*** 1.237***1.147*** 1.082*** 1.083*** 0.925*** 1.026*** 1.022*** 0.928***1.038*** 1.183*** 1.161*** 1.133*** 1.129***
l. qua e 71 70 70 70 70 70 70 70 70 70 71 70 70 70 70 70 70 70 70 70
The
Sha pe
a io
–0.846 –0.994 –0.999 –0.917 –1.072 –0.799 –0.741 –0.924 –0.777 –0.791 –0.846 –0.994 –0.999 –0.917 –1.072 –0.799 –0.741 –0.924 –0.777 –0.791
No es: CAPM
α
- he alpha coe icien (absolu e e m) om he CAPM model; FF
α
- he alpha coe icien (absolu e e m) om he Fama–F ench model; Ca ha
α
- he alpha
coe icien (absolu e e m) om he Ca ha model;
CAPM
β
- be a coe icien om he CAPM model; l. qua e – he numbe o qua e s; The Sha pe a io.
Sou ce: Zalewska and Neh ebecka (2020).
CEEJ • 6(53) • 2019 • pp. 199-220 • ISSN 2543-6821 • DOI: 10.2478/ceej-2019-0013 216
Tab . 5: Po olios c ea ed o he ne wo king capi al a io: models es ima ed wi h he leas -squa es me hod (le ) and quan ile eg ession ( igh ).
12345678910 12345678910
CAPM
α
–0.01 –0.014 –0.006 0.006 –0.002 0.002 0.02** 0.014* 0.014 0.012 –0.005 –0.017* –0.010 –0.002 –0.008 –0.002 0.008 0.009 0.013 0.018*
FF
α
–0.014 –0.013 –0.006 0.006 –0.001 0.004 0.021** 0.014 0.016 0.013 –0.008 –0.015 –0.010 0.005 –0.005 0.00 0.012* 0.016 0.017 0.016
Ca ha
α
–0.015 –0.015 –0.002 0.006 –0.006 –0.003 0.018* 0.014* 0.009 0.012 –0.016 –0.017 –0.013 0.005 –0.01 0.002 0.007 0.017 0.001 0.021*
CAPM
β
1.206***0.989***1.042***1.064***1.025*** 1.076*** 1.151*** 1.237***1.147*** 1.082*** 1.083*** 0.925*** 1.026*** 1.022*** 0.928***1.038*** 1.183*** 1.161*** 1.133*** 1.129***
l.
qua e
71 70 70 70 70 70 70 70 70 70 71 70 70 70 70 70 70 70 70 70
The
Sha pe
a io
–0.846 –0.994 –0.999 –0.917 –1.072 –0.799 –0.741 –0.924 –0.777 –0.791 –0.846 –0.994 –0.999 –0.917 –1.072 –0.799 –0.741 –0.924 –0.777 –0.791
No es: CAPM
α
- he alpha coe icien (absolu e e m) om he CAPM model; FF
α
- he alpha coe icien (absolu e e m) om he Fama–F ench model;
Ca ha
α
- he alpha
coe icien (absolu e e m) om he Ca ha model; CAPM
β
- be a coe icien om he CAPM model; l. qua e – he numbe o qua e s; The Sha pe a io.
Sou ce: Zalewska and Neh ebecka (2020).
Tab . 6: Po olios c ea ed o he ixed asse co e age a io: models es ima ed wi h he leas -squa es me hod (le ) and quan ile eg ession ( igh ).
12345678910 1 2345678910
CAPM
α
0.001 –0.006 –0.007 –0.021** 0.009 0.005 0.01 0.009 0.020** 0.019** 0.0009 –0.0060 –0.0066 –0.0146** –0.0056 0.0076 0.0035 0.0068 0.0029 0.0226***
FF
α
0.000 –0.008 –0.008 –0.022** 0.009 0.007 0.01 0.012 0.021** 0.019** 0.0060 0.0003 –0.0062 –0.0144 –0.0032 0.0085 –0.0061 0.0081 0.0017 0.0230*
Ca ha
α
–0.010 0.000 –0.006 –0.02* 0.006 0.003 0.003 0.006 0.016* 0.019** 0.0017 –0.0093 –0.0036 –0.0168 –0.0003 0.0050 0.0039 0.0029 0.0020 0.0193*
CAPM
β
1.124*** 1.222*** 0.991*** 0.79*** 1.206*** 1.115*** 1.036*** 1.178*** 1.146*** 1.140*** 0.9565*** 1.1808*** 0.9423***0.8546***1.0591*** 1.0635***1.0244***0.9384***0.9605***1.2871***
l.
qua e
71 71 71 71 71 71 71 71 71 71 68 68 68 68 68 68 68 68 68 68
The
Sha pe
a io
–0.804 –0.964 –1.176 –1.078 –0.934 –0.943 –0.857 –0.874 –0.749 –0.751 –0.7080 –0.8980 –1.0539 –0.9753 –0.8742 –0.8429 –0.7425 –0.7612 –0.6419 –0.6570
No es: CAPM
α
- he alpha coe icien (absolu e e m) om he CAPM model; FF
α
- he alpha coe icien (absolu e e m) om he Fama–F ench model; Ca ha
α
- he alpha
coe icien (absolu e e m) om he Ca ha model; CAPM
β
- be a coe icien om he CAPM model; l. qua e – he numbe o qua e s; The Sha pe a io.
Sou ce: Zalewska and Neh ebecka (2020).
CEEJ • 6(53) • 2019 • pp. 199-220 • ISSN 2543-6821 • DOI: 10.2478/ceej-2019-0013 217
Tab . 7: Po olios c ea ed o he deb a io: models es ima ed wi h he leas -squa es me hod (le ) and quan ile eg ession ( igh ).
12345678910 12345678910
CAPM
α
–0.0040 –0.0062 –0.0101 –0.0014 0.0124 0.0028 –0.0008 0.0186* 0.0036 0.0035 –0.0111 –0.0148 –0.0014 –0.0045 0.0107 0.0021 –0.0025 0.0091 –0.0043 –0.0049
FF
α
–0.0032 –0.0046 –0.0084 –0.0038 0.0135 0.0023 –0.0014 0.0200** 0.0036 0.0029 –0.0061 –0.0090 –0.0010 –0.0080 0.0068 0.0036 –0.0064 0.0082 0.0027 0.0134
Ca ha
α
–0.0059 –0.0072 –0.0082 –0.0022 0.0081 0.0104 –0.0050 0.0129 0.0024 0.0012 –0.0135 –0.0090 –0.0028 –0.0111** 0.0100 0.0030 –0.0061 0.0005 –0.0031 0.0174
CAPM
β
1.0274***0.9973***0.9592***1.1079*** 1.2111*** 0.8735***0.9950***1.2436***1.1069*** 1.0808***0.9783***0.9398***0.9674***1.0267***1.0622***0.9840***0.9401***1.1629*** 1.0532***0.9523***
l.
qua e
71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71
The
Sha pe
a io
–1.1344 –0.8753 –1.0406 –0.8507 –0.7772 –0.8391 –1.1745 –0.7841 –0.9350 –0.7692 –1.1344 –0.8753 –1.0406 –0.8507 –0.7772 –0.8391 –1.1745 –0.7841 –0.9350 –0.7692
No es:
CAPM
α
- he alpha coe icien (absolu e e m) om he CAPM model; FF
α
- he alpha coe icien (absolu e e m) om he Fama–F ench model;
Ca ha
α
- he alpha coe icien
(absolu e e m) om he Ca ha model; CAPM
β
- be a coe icien om he CAPM model; l. qua e – he numbe o qua e s; The Sha pe a io.
Sou ce: Zalewska and Neh ebecka (2020).
Tab . 8: Po olios c ea ed o he quick a io: models es ima ed wi h he leas -squa es me hod (le ) and quan ile eg ession ( igh ).
12345678910 12345678910
CAPM
α
–0.0050 0.0041 0.0013 0.0094 –0.0001 0.0068 0.0028 0.0269** 0.0023 –0.0133 –0.0149 0.0042 –0.0037 0.0075 –0.0111 0.0019 0.0102 0.0176 0.0021 –0.0153**
FF
α
–0.0082 0.0068 0.0001 0.0096 0.0001 0.0074 0.0054 0.0278** 0.0030 –0.0123 –0.0177** 0.0089 –0.0052 0.0083 –0.0070 0.0066 0.0088 0.0139 0.0025 –0.0207***
Ca ha
α
–0.0154 0.0097 0.0005 0.0074 0.0061 0.0045 0.0014 0.0286** –0.0026 –0.0129 –0.0171* 0.0083 –0.0062 0.0030 –0.0038 0.0014 –0.0044 0.0230** 0.0031 –0.0209**
CAPM
β
1.3159*** 1.0246***1.0082***1.0067***1.0928***1.0718*** 1.1985*** 1.3046***1.0950***0.8759***1.1322*** 1.0193*** 0.9580***0.9929***0.9824***0.9910***1.2822***1.2463***1.1132*** 0.8773***
l.
qua e
71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71 71
The
Sha pe
a io
–0.8247 –0.7885 –1.0241 –0.8734 –0.9975 –0.9392 –0.9480 –0.6543 –0.9893 –0.9759 –0.8247 –0.7885 –1.0241 –0.8734 –0.9975 –0.9392 –0.9480 –0.6543 –0.9893 –0.9759
No es: CAPM
α
- he alpha coe icien (absolu e e m) om he CAPM model;
FF
α
- he alpha coe icien (absolu e e m) om he Fama–F ench model;
Ca ha
α
- he alpha coe icien
(absolu e e m) om he Ca ha model; CAPM
β
- be a coe icien om he CAPM model; l. qua e – he numbe o qua e s; The Sha pe a io.
Sou ce: Zalewska and Neh ebecka (2020).
CEEJ • 6(53) • 2019 • pp. 199-220 • ISSN 2543-6821 • DOI: 10.2478/ceej-2019-0013 218
On he o he hand, when i comes o ma ching he
model o he da a, he adjus ed R2 es ima o o each
o he liquidi y and sol ency a ios is he highes o
he majo i y o po olios o he Fama–F ench model.
On he o he hand, he Ca ha model had he wo s
alues. The o al signi icance o he model pa ame e s
assessed by he F- es 16 in each case sugges s he
ejec ion o he null hypo hesis. This means ha o
each g oup o companies so ed acco ding o liquidi y
o sol ency a ios o companies lis ed on he Wa saw
S ock Exchange, a leas one o he isk ac o s
exp essed in he CAPM, Fama–F ench and Ca ha
model is signi ican . Mos o en, i is he MKT ma ke
isk ac o .
The Sha pe a io, ega dless o he adop ed sol ency
a io, u ned ou o be nega i e o each po olio.
This means ha po olios based on he sol ency a io
pe cen iles had a lowe mean a e o e u n han he
isk- ee a e. The p og ession o changes in he alue
o his indica o does no show a clea end. Fo all
a ios excep he asse co e age a io, he Sha pe a io
is <0.7 o each po olio. This obse a ion poin s o
a hypo hesis ha s ock po olios based on sol ency
a ios a e no a good in es men s a egy.
The use o ou sol ency a ios and h ee company
liquidi y a ios o ob ain a ull pic u e o he company’s
condi ion ins ead o ocusing on only one o he aspec s
was con i med by he conclusion o Lischewski and
Vo onko a (2012) abou di e en es ima ion esul s
depending on he applied ac o . The esul s change
in e ms o s a is ical signi icance o he sensi i i y
ac o s o he analysed isk ac o as well as o hei
absolu e alues. On he o he hand, he in e ence
ha he e is no mono onic and explici dependence
o companies’ sensi i i y o isks exp essed in he
CAPM, Fama–F ench and Ca ha models depending
on he liquidi y and sol ency o he company emains
alid.
Based on he abo e indings, we should ejec he
second hypo hesis, acco ding o which a company’s
sensi i i y o isk de ined in asse p icing models
signi ican ly depends on i s liquidi y and sol ency
de e mined by inancial a ios. The analysis p esen ed
in his sec ion does no suppo he conclusions o
Medha (2014) abou he impac o liquidi y exp essed
by he measu es p oposed by he esea che on he
a e o e u ns on sha es o companies lis ed on he
16 The F- es hypo heses a e as ollows. The null hypo hesis is
ha each o he o al model pa ame e s is equal o ze o.
Howe e , he al e na i e hypo hesis assumes ha a leas
one o he model pa ame e s is di e en om ze o.
Wa saw S ock Exchange. A he same ime, he
conclusion abou he impac o liquidi y on a es o
e u n on sha es on he Wa saw S ock Exchange
p opounded in he s udy by Lischewski and Vo onko a
(2012) is con i med based on di e en liquidi y a ios.
The e o e, i seems ha in he case o he Wa saw
S ock Exchange, liquidi y and sol ency do no play
such an impo an ole in shaping e u ns as in o he ,
mo e-ad anced ma ke s.
5 Conclusions
The pu pose o ou esea ch was o analyse he impac
o a ious inancial measu es assessing a company’s
liquidi y and sol ency on he a es o e u n on sha es
o companies lis ed on he Wa saw S ock Exchange.
Acco ding o he li e a u e e iew, he e is a lo o
esea ch on he a e o e u ns on sha es, which, as
a ac o shaping hei ola ili y, akes in o accoun
liquidi y o sol ency in he o m o a ious a ios. The
i s g oup o s udies conce ned he Uni ed S a es. The
publica ions p o ed ha he common opinion ha
companies wi h ex ensi e cash esou ces a e mo e
sol en is no ue. I was also shown ha liquidi y
and sol ency a e impo an aspec s in explaining
he e u n on sha es. The second g oup o analyses
conce ned less-de eloped bu s ill ad anced ma ke s,
such as G ea B i ain o Aus alia. The main conclusion
was he signi ican impac o liquidi y and sol ency
on e u ns on sha es. The esea che s concluded ha
he LCAPM model is be e sui ed o he da a han
he s anda d CAPM. Analyses o eme ging ma ke s
(such as Nige ia and Se bia) we e also desc ibed.
They do no p o ide unambiguous e idence abou he
impo ance o liquidi y and sol ency o lack he eo
o hese coun ies due o hei speci ic cha ac e is ics.
Resea ch on Poland was also ci ed, in which no explici
ela ionship was iden i ied. The esul s ob ained in
ou s udy con ibu e o he de elopmen o knowledge
in he discussed opic.
Ou s udy e i ied wo main hypo heses. The
i s main hypo hesis s a ed ha companies a isk
o bank up cy a e able o mee hei sho - e m
obliga ions. I was ejec ed. In he case o Al man
Z-sco e, he le e age a io, he ixed asse co e age
a io and he deb a io, i hey indica e a isk o
bank up cy, he quick, cu en and ne wo king capi al
liquidi y a ios signal a p oblem wi h he epaymen o
sho - e m liabili ies.

CEEJ • 6(53) • 2019 • pp. 199-220 • ISSN 2543-6821 • DOI: 10.2478/ceej-2019-0013 219
The second main hypo hesis is ha liquidi y and
sol ency measu ed by inancial a ios signi ican ly
a ec he sensi i i y o he a e o e u ns on sha es
o isk ac o s exp essed in he CAPM, Fama–F ench
and Ca ha models. Based on he e olu ion o
be a- ime coe icien s om he CAPM model and
po olio analysis, his hypo hesis was ejec ed. No
unambiguous ela ionship was iden i ied be ween
liquidi y and sol ency a ios on he one hand and
he ime- a ying be a om he CAPM model, he
isk es ima o s om he Fama–F ench and Ca ha
models, and he alpha coe icien s om hese models.
The e can be se e al easons o his. Acco ding o
Lischewski and Vo onko a (2012), i may be he esul
o he liquidi y suppo p og amme ope a ing on he
Wa saw S ock Exchange, he speci ic na u e o he
Polish economy (whe e small companies domina e
on he s ock exchange) o g owing ma ke liquidi y.17
Iden i ying he eason o he desc ibed si ua ion
equi es u he esea ch.
Based on ou analysis, we did no check o wha
ex en he indi idual aspec s o a company’s condi ion
such as liquidi y, sol ency o ne wo king capi al
a e adap ed o he eali ies o he Polish economy.
Conside ing he ac ha he selec ion o he liquidi y
o sol ency a io di e en ia es he esul s o asse
p icing models, i would be necessa y o analyse he
sui abili y o he a ios a ailable in he li e a u e o he
Wa saw S ock Exchange. This issue equi es u he
analysis. In addi ion, i seems in e es ing o examine
whe he he LCAPM model is be e sui ed o he
da a in he Polish ma ke han he CAPM model, as
Mino ić and Ži ko ić (2012) a gue o he Se bian
economy, B ad ania and Pea (2014) o he USA
ma ke o Li e al. (2014) o Japan.
Re e ences
Acha ya, V., Se gei, A. D., Ilya, A. S. (2012). Cash
holdings and c edi isk. The Re iew o Financial S udies.
25(12), 3572–3609.
Amihud, Y. ,2002. Illiquidi y and s ock e u ns:
c oss-sec ion and ime-se ies e ec s. Jou nal o
Financial Ma ke s 5, 31-56.
17 LischewskiandVo onko a(2012)a gue ha  heinc ease
in weal h and sa ings can lead o g ea e in es o ac i i y
on he s ock ma ke  and, as a esul , o e all liquidi y
imp o emen .
Bali, T. G., Zhou, H. (2016). Risk, unce ain y, and
expec ed e u ns. Jou nal o Financial and Quan i a i e
Analysis. 51(3), 707–735.
Ba en, J. A., Vo, V. X. (2014). Liquidi y and e u n
ela ionships in an eme ging ma ke . Eme ging Ma ke s
Finance and T ade. 50(1), 5–21.
B ad ania, R. M., Pea , M. (2013). Liquidi y
and expec ed e u ns—E idence om 1926–2008.
In e na ional Re iew o Financial Analysis. 29, 10–23.
B ad ania, R. M., Pea , M. (2014). Cha ac e is ic
liquidi y, sys ema ic liquidi y and expec ed e u ns.
Jou nal o In e na ional Financial Ma ke s, Ins i u ions
and Money. 33, 78–98.
Chai, D., Vie , D., Vu, V. (2015). Empi ical es s
on he liquidi y-adjus ed capi al asse p icing model.
Paci ic-Basin Finance Jou nal. 35, 73–89.
Chen, C.-M., Lee, H.-H. (2013). De aul isk,
liquidi y isk, and equi y e u ns: e idence om he
Taiwan ma ke . Eme ging Ma ke s Finance and T ade,
49(1), 101–129.
Co e , J., O’Sulli an, N. Rossi, F. (2015). The
condi ional p icing o sys ema ic and idisync a ic
isk in he UK equi y ma ke . In e na ional Re iew o
Financial Analysis. 37, 184 –193.
Czapkiewicz, A., Wój owicz, T. (2014). The ou -
ac o asse p icing model on he Polish s ock ma ke .
Economic Resea ch-Ekonomska Is aži anja, 27(1),
771–783.
Dębski, W. (2014). Rynek inansowy i jego
mechanizmy. Pods awy eo ii i p ak yki. Wa szawa:
PWN.
Fama, E. F., F ench, K. R. (1992). The c oss-sec ion
o expec ed s ock e u ns. The Jou nal o Finance.
XLVII(2), 427–465.
F iewald, N., Wagne , C., Zechne , J. (2014). The
c oss-sec ion o c edi isk p emia and equi y e u ns.
The Jou nal o Finance. LXIX(6), 2419–2469.
Gab usiewicz, W. (2014). Analiza inansowa
p zedsiębio s wa. Teo ia i zas osowanie. Wa szawa: PWE.
Ga lappi, L., Yan, H. (2011). Financial dis ess
and he c oss-sec ion o equi y e u ns. The Jou nal o
Finance. LXVI(3), 789–822.
Hallock, K. F., Koenke , R. (2001). Quan ile
eg ession. Jou nal o Economic Pe spec i es. 15(4),
143–156.
CEEJ • 6(53) • 2019 • pp. 199-220 • ISSN 2543-6821 • DOI: 10.2478/ceej-2019-0013 220
Hea n, B. (2014). Size and liquidi y e ec s in
Nige ia: And indus ial sec o s udy. The Jou nal o
De eloping A eas, 48(3), 1–30.
Holden, C. W., 2009. New low- equency sp ead
measu es. Jou nal o Financial Ma ke s 12, 778– 813.
Hu man, S. P., Moll, C. R. (2012). An examina ion
o he ela ion be ween asymme ic isk measu es,
p io e u ns and expec ed daily s ock e u ns. Re iew
o Financial Economics. 22, 8–19.
Jachna, T., Sie pińska, M. (2004). Ocena
p zedsiębio s wa według s anda dów świa owych.
Wa szawa: PWN.
Jajuga, K., Jajuga, T. (2006). Inwes ycje. Ins umen y
inansowe, ak ywa nie inansowe, yzyko inansowe,
inżynie ia inansowa. Wa szawa: Wydawnic wo
Naukowe PWN.
Li, B., Sun, Q., Wang, V. (2014). Liquidi y, liquidi y
isk and s ock e u ns: e idence om Japan. Eu opean
Financial Managemen . 20(1), 126–151.
Lischewski, J., Vo onko a, S. (2012). Size, alue
and liquidi y. Do hey eally ma e on an eme ging
s ock ma ke ? Eme ging Ma ke s Re iew. 3, 8–25.
Liu, W. (2004). Liquidi y p emium and a wo- ac o
model. EFA 2004 Maas ich Mee ings Pape , No. 2678.
Medha , M. (2014). Liquidi y isk and dis essed
equi y, Job Ma ke Pape o he 2015 Academic Job
Ma ke .
Mino ić, J., Ži ko ić, B. (2012). The impac o
liquidi y and size p emium on equi y p ice o ma ion
in Se bia. Economic Annals. LVII(195), 43–78.
Palazzo, B. (2012). Cash holdings, isk, and
expec ed e u ns. Jou nal o Financial Economics. 104(1),
162–185.
Pa k, J. L. (2015). Equi y e u ns o dis essed
equi y issue s. Finance Resea ch Le e s. 14, s93–103.
Pa e son, R. (2011). Kompendium e minów z zak esu
inansów po polsku i angielsku. K aków: Wydawnic wo
Zielona Sowa.
So, S. M. S., Tang, G. Y. N. (2010). An examina ion
o condi ional e ec on c oss-sec ional e u ns:
Singapo e e idence. Applied Economics. 42, 777–795.
Wang, F. (2012). Idiosync a ic co po a e liquidi y
and equi y e u ns. Banking and Finance Re iew. 2,
47–70.
Waszczuk, A. (2013). A isk-based explana ion
o e u n pa e ns – E idence om he Polish s ock
ma ke . Eme ging Ma ke s Re iew. 15, 186–210.