PL EN


2009 | 22 | 163-168
Article title

MULTIFACTOR MODELS OF MOMENTUM PORTFOLIOS ON THE WARSAW STOCK EXCHANGE, 1999-2009

Selected contents from this journal
Title variants
Languages of publication
EN
Abstracts
EN
The authors computed selected portfolio factor returns for the stock listed on the WSE over the 1999-2009 period. There is a size premium on the WSE, while the size and sign of the value premium depends on the value factor used. Investors also seem to put a premium on corporate liquidity. Top momentum deciles as well as the momentum factor exhibit on average positive returns. Further the authors tested a number of multifactor models of momentum portfolios. It appears that the SP factor based on he Sales/Prices relative valuation of stocks has some power in explaining the momentum returns. Further testing of this and other factors introduced above, EP, CP and ATI sems desirable
Year
Issue
22
Pages
163-168
Physical description
Document type
ARTICLE
Contributors
  • Wojciech Grabowski, Uniwersytet Warszawski, Wydzial Nauk Ekonomicznych, ul. Dluga 44/50, 00-241 Warszawa, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
10PLAAAA07229
YADDA identifier
bwmeta1.element.7c9ef27e-fe48-3849-9150-4286f5b20c2f
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