MIĘDZYRYNKOWE PREMIE ZA WARTOŚĆ, WIELKOŚĆ I MOMENTUM NA GIEŁDACH AKCJI

• Authors: Adam Zaremba , Przemysław Konieczka

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.

Keywords

PL

premia za wartość; premia za wielkość; efekt momentum; analiza przekrojowa stóp zwrotu; międzynarodowe rynki finansowe; efekt wartości księgowej do rynkowej; efekt małej spółki

EN

value premium; size premium; momentum effect; cross-section of stock returns; international financial markets

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2014
• Volume: 15
• Issue: 4
• Pages: 246-255

Dates

published

2014

Contributors

author

Adam Zaremba

• Uniwersytet Ekonomiczny w Poznaniu

author

Przemysław Konieczka

• Szkoła Główna Handlowa w Warszawie

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