PL EN


2009 | 56 | 1 | 107-125
Article title

THE IMPACT OF THE LAGGED CONDITION VARIABLES ON THE CHANGES TO THE RATES OF RETURN ON THE SHARES QUOTED ON THE WARSAW STOCK EXCHANGE (Polish title - below)

Title variants
Languages of publication
PL
Abstracts
EN
(Polish title - 'Wplyw opóznionych zmiennych warunkowych na zmiany stóp zwrotu akcji notowanych na GPW w Warszawie'). The paper presents the testing of Fama and French three-factor model and the two- and three-factor aggregated model proposed earlier by the author. The conducted test concerns the impact of condition variables on changes to the rates of return on the shares quoted on the Warsaw Stock Exchange main market for 1995-2005. The analysis is based on the procedure proposed by Ferson and Harvey (1999). Fama and French lagged factors act as condition variables, the lagged rate of return on free-from-risk shares and lagged factor HMLF of the proposed aggregated model. The results of the analysis lead to the conclusion that the lagged rate of return on free-from-risk shares contributes additional information both to Fama and French model and the aggregated model. It implies that the two procedures may not be regarded as the examples of condition models. Lagged factor HMLF also has an impact on Fama and French model. On the other hand, no impact is recorded of Fama and French lagged factors on the description of the rates of return by means of the aggregated model. On the basis of the obtained results one should noute that the aggregated 2-factor and 3-factor models explain the cross section of average returns of shares listed on the Polish market better than Fama and French 3-factor model.
Year
Volume
56
Issue
1
Pages
107-125
Physical description
Document type
ARTICLE
Contributors
  • Stanislaw Urbanski, Akademia Górniczo-Hutniczaw Krakowie, Wydzial Zarzadzania ul. Gramatyka 10, 30-067 Kraków, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
09PLAAAA070120
YADDA identifier
bwmeta1.element.203a8763-2f03-375e-8bf8-7cec5880f31e
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