Efekty wartości, wielkości i momentum a wycena aktywów na polskim rynku akcji

• Authors: Zaremba Adam

Title variants

EN

Value, Size and Momentum Effects in Asset Pricing on the Polish Equity Market

• Languages of publication: PL

Abstracts

EN

The study tests the performance of the CAPM, Fama-French three-factor and Carhart four-factor models on the Polish market. The computations base on listings of over 800 companies between April 2001 and January 2014. The paper documents strong evidence for the value and momentum effects, but only weak evidence for the size premium. I form portfolios double-sorted on size and book-to-market ratios, as well as on size and momentum, and I try to explain their returns with the above-mentioned asset pricing models. The CAPM model is rejected and the three-factor and four-factor models perform well for the size and B/M sorted portfolios, but fail to explain the returns on the size and momentum sorted portfolios. With the exception of the momentum factor, the local Polish factors are not correlated with their European and global counterparts, suggesting market segmentation. Finally, the international value, size and momentum factors perform poorly in explaining cross-sectional variation in stock returns on the Polish market.

Keywords

PL

premia za wartość; efekt małych spółek; efekt momentum; model trójczynnikowy Famy-Frencha; model czteroczynnikowy Carharta; polski rynek akcji; wycena aktywów; segmentacja rynków

EN

value effect; size effect; momentum effect; Fama-French three-factor model; Carhart-four-factor model; Polish market; asset pricing; market segmentation

• Publisher: Komitet Nauk o Finansach PAN
• Journal: FINANSE Czasopismo Komitetu Nauk o Finansach PAN
• Year: 2015
• Issue: 1(8)
• Pages: 111+143

Contributors

author

Zaremba Adam

• Uniwersytet Ekonomiczny w Poznaniu

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