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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

author
  • 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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