An application of factor pricing models to the Polish stock market

dc.contributor.authorZaremba, Adam
dc.contributor.authorCzapkiewicz, Anna
dc.contributor.authorSzczygielski, Jan Jakub
dc.contributor.authorKaganov, Vitaly
dc.date.accessioned2020-04-16T07:45:47Z
dc.date.issued2019
dc.description.abstractWe 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.departmentFinancial Managementen_ZA
dc.description.embargo2020-04-17
dc.description.librarianhj2020en_ZA
dc.description.sponsorshipThe National Science Centre of Polanden_ZA
dc.description.urihttp://www.tandfonline.com/loi/mree20en_ZA
dc.identifier.citationAdam 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.issn1540-496X (print)
dc.identifier.issn1558-0938 (online)
dc.identifier.other10.1080/1540496X.2018.1517042
dc.identifier.urihttp://hdl.handle.net/2263/74177
dc.language.isoenen_ZA
dc.publisherRoutledgeen_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.subjectAsset growthen_ZA
dc.subjectAsset pricingen_ZA
dc.subjectEquity anomaliesen_ZA
dc.subjectFactor modelsen_ZA
dc.subjectMomentumen_ZA
dc.subjectPolanden_ZA
dc.subjectPolish stock marketen_ZA
dc.subjectProfitabilityen_ZA
dc.subjectSizeen_ZA
dc.subjectCross-section of returnsen_ZA
dc.subjectValueen_ZA
dc.titleAn application of factor pricing models to the Polish stock marketen_ZA
dc.typePostprint Articleen_ZA

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