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

• Authors: Urbanski S.
• 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

Keywords

EN

ECONOMETRIC APPROACH; FAMA-FRENCH MODEL; RATES OF RETURN (POLISH MARKET)

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Główny Urząd Statystyczny
• Journal: Przegląd Statystyczny
• Year: 2007
• Volume: 54
• Issue: 2
• Pages: 94-121
• Document type: ARTICLE

Contributors

author

Urbanski S.

• S. Urbanski, Akademia Górniczo-Hutnicza w Krakowie, Wydzial Zarzadzania, ul. Gramatyka 10, 30-067 Kraków, Poland

Identifiers

CEJSH db identifier

07PLAAAA02675465