We are excited to announce that the repository will soon undergo an upgrade, featuring a new look and feel along with several enhanced features to improve your experience. Please be on the lookout for further updates and announcements regarding the launch date. We appreciate your support and look forward to unveiling the improved platform soon.
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) | |
dc.identifier.other | 10.1080/1540496X.2018.1517042 | |
dc.identifier.uri | http://hdl.handle.net/2263/74177 | |
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 |