An application of factor pricing models to the Polish stock market

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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


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