companies quoted at the Warsaw Stock Exchange. To this end a stochastic volatility model incorporating Markov switching in-mean … 'averaged out' over the regimes). Therefore, we allow the volatility-in-mean effect to switch over different regimes according … effect (SV-MS-M) is employed. We argue that neglecting possible regime changes in the relation between expected return and …

, we allow the volatility in-mean effect to switch over different regimes according to a discrete homogeneous twostate …