Słoń w składzie porcelany? Empiryczna analiza wyników Berkshire Hathaway a płynność inwestycyjna
DOI:
https://doi.org/10.33119/SIP.2025.206.8Keywords:
zarządzanie portfelem inwestycyjnym , efektywność portfela inwestycyjnego , portfele modelowe , zwrot odniesiony do ryzyka , inwestowanie czynnikowe , atrybucja i trwałość wyników inwestycyjnych , analiza nastrojów (sentymentu) , VADER , pułapka płynnościowa konglomeratów finansowychAbstract
This article examines how market liquidity and managerial sentiment affect performance at Berkshire Hathaway, using a multi-method econometric framework. I apply a combination of panel regressions, liquidity-augmented factor models, and two-stage least squares (2SLS), along with a sentiment measure - based on Berkshire’s shareholder letters - using the VADER sentiment analysis tool. The findings support the existence of a persistent liquidity premium and a size-related dampening of risk-adjusted returns, both of which are robust to market/size/value factors; as well as pre/post-market break/stability tests (CUSUM, sup-Wald). The out-of-sample validation demonstrates that the Liquidity-Tone Index contributes additional predictive power beyond quantitative proxies. Overall, the results provide evidence of the interaction between structural (size/liquidity) and behavioral (textual tone) performance determinants in large, value-oriented portfolios.
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Materiały internetowe
Berkshire Hathaway (2025). Letters, https://www.berkshirehathaway.com/letters/letters.html (dostęp: 2.10.2025).
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