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Paper profits from value, size and momentum : Evidence from the Polish market

Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69

In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyzemthe...

Persistent link: https://www.econbiz.de/10011455379

The Bayesian method in estimating Polish and German industry betas : a comparative nalysis of the risk between the main economic sectors from 2001-2020

Feder-Sempach, Ewa; Szczepocki, Piotr - In: Comparative economic research : Central and Eastern Europe 25 (2022) 2, pp. 45-60

estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and …, but Telecom was defensive. The results give a valuable insight into the systematic risk levels in Poland and Germany …

Persistent link: https://www.econbiz.de/10013334984

Is D-CAPM Superior to CAPM When Assessing Investment Risk on the Polish Stock Market?

Cwynar, Wiktor - 2013

The application of the Capital Asset Pricing Model, which is a mean-variance technique, requires the distribution of stock returns to be symmetric. Securities traded on many emerging capital markets, including the Warsaw Stock Exchange (WSE), usually do not have such a feature. In these cases,...

Persistent link: https://www.econbiz.de/10013095124

The profitability of following analyst recommendations on the Polish stock market

Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 22-31

analysts' recommendations from Poland. Second, it examines the relations between these patterns and the size of the rated … use monthly stock level data from Poland and the sample period is 2004 - 2013. In order to examine the profitability of … analysts' reports, we build market-neutral portfolios and test their performance against CAPM, Fama-French three-factor and …

Persistent link: https://www.econbiz.de/10011393259

The Low Price Anomaly : the Intriguing Case of the Polish Stock Market

Zaremba, Adam - 2016

This study investigates the low-price effect on the Polish stock market. By adopting sorting, cross-sectional tests and checks of the monotonic relation, we have examined the performance of the portfolios formed on the prices of over 850 companies listed on the Polish stock market within the...

Persistent link: https://www.econbiz.de/10013004742

Factor Returns in the Polish Equity Market

Zaremba, Adam - 2016

determinants of stock returns. This study seeks to identify factors important for forecasting changes in stock prices in Poland … Poland it was possible to build factor-based portfolios which outperformed the broad market. However, the Polish market seems …

Persistent link: https://www.econbiz.de/10013007030

Testing the Maturity of the Polish Stock Market

Cwynar, Wiktor - 2013

risk assessment models to the Polish stock market, techniques like the CAPM are still inadequate for young, developing …

Persistent link: https://www.econbiz.de/10013094924

The Profitability of Following Analyst Recommendations on the Polish Stock Market

Zaremba, Adam - 2015

analysts' recommendations from Poland. Second, it examines the relations between these patterns and the size of the rated … use monthly stock level data from Poland and the sample period is 2004-2013. In order to examine the profitability of … analysts' reports, we build market-neutral portfolios and test their performance against CAPM, Fama-French three-factor and …

Persistent link: https://www.econbiz.de/10013033604

Test of the Chen-Roll-Ross macroeconomic factor model : evidence from Croatian stock market

Dolinar, Dolinar; Orsag, Silvije; Suman, Paola - In: UTMS journal of economics / University of Tourism and … 6 (2015) 2, pp. 185-196

This paper empirically examines the well-known Chen-Roll-Ross model on the Croatian stock market. Modifications of definitions of the Chen-Roll-Ross model variables showed as necessary because of doubtful availability and quality of input data needed. Namely, some macroeconomic and market...

Persistent link: https://www.econbiz.de/10011456296

Size, value effects and the explanatory power of pricing models : evidence from BSE listed Indian industries

Sharma, Bhumiswor; Srikanth P; Suresha B. - In: Scientific papers of the University of Pardubice 30 (2022) 2, pp. 1-17

-known pricing models - CAPM, three-and five-factor across and within 15 Indian industries. The study considers all firms listed on …

Persistent link: https://www.econbiz.de/10014440925