dc.contributor.author |
Zaremba, Adam
|
|
dc.contributor.author |
Czapkiewicz, Anna
|
|
dc.contributor.author |
Szczygielski, Jan Jakub
|
|
dc.contributor.author |
Kaganov, Vitaly
|
|
dc.date.accessioned |
2020-04-16T07:45:47Z |
|
dc.date.issued |
2019 |
|
dc.description.abstract |
We evaluate and compare the performance of four popular factor pricing models: the capital asset pricing model, the Fama and French three-factor model, Carhart’s four-factor model, and the five-factor model of Fama and French. We aim to establish which of these models is most applicable in the Polish stock market. To do so, we employ a battery of tests—cross-sectional regressions, examination of one-way and two-way sorted portfolios, tests of monotonic relationships, and factor redundancy tests—and apply them to a sample of more than 1100 stocks for the years 2000–2018. The results indicate that the four-factor model outperforms the other models; it has the greatest explanatory ability for cross-sectional returns and is therefore well-suited for asset pricing in Poland. |
en_ZA |
dc.description.department |
Financial Management |
en_ZA |
dc.description.embargo |
2020-04-17 |
|
dc.description.librarian |
hj2020 |
en_ZA |
dc.description.sponsorship |
The National Science Centre of Poland |
en_ZA |
dc.description.uri |
http://www.tandfonline.com/loi/mree20 |
en_ZA |
dc.identifier.citation |
Adam Zaremba, Anna Czapkiewicz, Jan Jakub Szczygielski & Vitaly Kaganov (2019) An Application of Factor Pricing Models to the Polish Stock Market, Emerging Markets Finance and Trade, 55:9, 2039-2056, DOI: 10.1080/1540496X.2018.1517042. |
en_ZA |
dc.identifier.issn |
1540-496X (print) |
|
dc.identifier.issn |
1558-0938 (online) |
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dc.identifier.other |
10.1080/1540496X.2018.1517042 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/74177 |
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dc.language.iso |
en |
en_ZA |
dc.publisher |
Routledge |
en_ZA |
dc.rights |
© Taylor & Francis Group, LLC. This is an electronic version of an article published in Emerging Markets Finance and Trade, vol. 55, no. 9, pp. 2039-2056, 2019. doi : 10.1080/1540496X.2018.1517042. Emerging Markets Finance and Trade is available online at : http://www.tandfonline.com/loi/mree20. |
en_ZA |
dc.subject |
Asset growth |
en_ZA |
dc.subject |
Asset pricing |
en_ZA |
dc.subject |
Equity anomalies |
en_ZA |
dc.subject |
Factor models |
en_ZA |
dc.subject |
Momentum |
en_ZA |
dc.subject |
Poland |
en_ZA |
dc.subject |
Polish stock market |
en_ZA |
dc.subject |
Profitability |
en_ZA |
dc.subject |
Size |
en_ZA |
dc.subject |
Cross-section of returns |
en_ZA |
dc.subject |
Value |
en_ZA |
dc.title |
An application of factor pricing models to the Polish stock market |
en_ZA |
dc.type |
Postprint Article |
en_ZA |