Browsing Research Articles (Financial Management) by Author "Czapkiewicz, Anna"

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An application of factor pricing models to the Polish stock market

Zaremba, Adam; Czapkiewicz, Anna; Szczygielski, Jan Jakub; Kaganov, Vitaly (Routledge, 2019)

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 ...
Predicting the performance of equity anomalies in frontier emerging markets : a Markov switching model approach

Czapkiewicz, Anna; Zaremba, Adam; Szczygielski, Jan Jakub (Routledge, 2019)

Equity anomalies in frontier markets appear and disappear over time. This article aims to demonstrate the predictability of which of these transient anomalies will be profitable using a Markov switching model. To do so, ...

Now showing items 1-2 of 2

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