An application of factor pricing models to the Polish stock market
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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