Zaremba, AdamCzapkiewicz, AnnaSzczygielski, Jan JakubKaganov, Vitaly2020-04-162019Adam 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.2018.1517042.1540-496X (print)1558-0938 (online)10.1080/1540496X.2018.1517042http://hdl.handle.net/2263/74177We 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© 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.Asset growthAsset pricingEquity anomaliesFactor modelsMomentumPolandPolish stock marketProfitabilitySizeCross-section of returnsValuePostprint Article