PL EN


2007 | 54 | 2 | 94-121
Article title

TIME-CROSS-SECTION FACTORS OF RATES OF RETURN CHANGES ON WARSAW STOCK EXCHANGE

Authors
Title variants
Languages of publication
EN
Abstracts
EN
The present paper is an attempt to explain the cross-time changes of rates of return on the Polish market. The two- and three-factor evaluation model of capital assets is proposed. It is based on the aggregated explanatory variables dependent on the dynamics of changes of company assessment parameters as well as the current parameters of its evaluation. The proposed procedures, to some extent, result from a modification of Fama's and French's three-factor model. However, it seems that the applied explanatory variables have a stronger content-related justification, which turned out to be possible thanks to the research conducted and published worldwide in 1993-2006. On the basis of the obtained results and tests it seems that the proposed model in both versions describes the changes of rates of return on the Polish market in an appropriate way, and the conclusions resulting from the considerations of specified boundary conditions may serve as valuable guidelines for the investors
Year
Volume
54
Issue
2
Pages
94-121
Physical description
Document type
ARTICLE
Contributors
  • S. Urbanski, Akademia Górniczo-Hutnicza w Krakowie, Wydzial Zarzadzania, ul. Gramatyka 10, 30-067 Kraków, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
07PLAAAA02675465
YADDA identifier
bwmeta1.element.6de9db99-c930-397f-b866-4393f6efe9ec
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