PL EN


2008 | 55 | 4 | 131-148
Article title

THE E. FAMA & K. FRENCH THREE-FACTOR MODEL FOR WARSAW STOCK EXCHANGE

Authors
Title variants
Languages of publication
PL
Abstracts
EN
While applying Eugene Fama and Kenneth French methodology and using monthly time series data from July 1995 to June 2006, the parameters of three-factor model of excess returns for Warsaw Stock Exchange were estimated. Calculations confirmed the basie for this model assumption that the rate of return depends not only on the market (systematic) risk but also on the risk connected with the investments in stocks of smali firms and in stocks of underpriced by market firms with high ratio of book value to market value. Investors who risk to invest in smali firms and in underpriced by market companies can get higher rates of return than investors who buy the stocks of big, overpriced companies. Three-factor models, estimated for Warsaw Stock Exchange, are characterized by lower value of coefficient of determination in comparison with models estimated by Fama and French for New York stocks exchanges. This may result from several times lower number of companies used for the calculation of SMB and HML variables and the considerably shorter time series.
Year
Volume
55
Issue
4
Pages
131-148
Physical description
Document type
ARTICLE
Contributors
author
  • M. Kowerski, Wyzsza Szkola Zarzadzania i Administracji w Zamosciu, ul.Akademicka 4, 22-400 Zamosc, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
09PLAAAA055124
YADDA identifier
bwmeta1.element.5f96cd75-9ea4-3d4b-a446-cd8a6085e05c
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