PL EN


2014 | 15 | 4 | 246-255
Article title

MIĘDZYRYNKOWE PREMIE ZA WARTOŚĆ, WIELKOŚĆ I MOMENTUM NA GIEŁDACH AKCJI

Content
Title variants
EN
INTER-COUNTRY VALUE, SIZE AND MOMENTUM PREMIUMS ACROSS THE STOCK MARKETS
Languages of publication
PL
Abstracts
PL
Niniejszy artykuł koncentruje się na charakterystykach międzyrynkowych premii za wartość, wielkość i momentum na giełdach akcji. Przeprowadzone badanie poszerza stan wiedzy naukowej na dwa sposoby. Po pierwsze, dokumentuje funkcjonowanie efektów wskaźnika wartości księgowej do rynkowej, kapitalizacji i momentum na poziomie państw. Po drugie, wykazuje, że opisane efekty wzmacniają się nawzajem pozwalając budować portfele cechujące się ponadprzeciętnymi stopami zwrotu. Obliczenia bazują na notowaniach spółek z 66 państw w latach 2000-2013.
EN
The study examines the characteristics of inter-country value, size and momentum premiums. We contribute to the asset-pricing literature in two ways. First, we deliver evidence on value, size and momentum premiums across countries. Second, we demonstrate, that the country-level value, size and momentum premiums tend to strengthen each other in double-sorted portfolios. We investigate stock markets in 66 countries 2000 and 2013.
Year
Volume
15
Issue
4
Pages
246-255
Physical description
Dates
published
2014
Contributors
author
  • Uniwersytet Ekonomiczny w Poznaniu
  • Szkoła Główna Handlowa w Warszawie
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-74a4816f-70e7-4159-902b-3e3880226c19
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