The Relations Between Momentum, Value Size, And Liquidity Factors And Stock Returns On The Polish Market

• Authors: Zaremba, Adam , Konieczka, Przemysław

Abstracts

EN

The research outcomes in this paper were presented at The 2-dn International Scientific conference “Contemporary Issues in Business, Management and Education 2014” [Zaremba, Konieczka, 2014].

EN

The paper examines the relations between selected company characteristics and common stock returns. In the paper, we concentrate on four well-recognized fundamental factors determining stock returns: momentum, value, size and liquidity. First, we review the existing literature in the field. Second, we investigate the relationship between fundamental factors and stock returns on the Polish market. Our computations are based on all companies on the Warsaw Stock Exchange listed in the period 2000-12. Our research provides fresh out-of-sample evidence for momentum, value, size and liquidity premium from the Polish market.

Keywords

EN

value; size; momentum; cross-section of stock returns; Polish market; Warsaw Stock Exchange

• Publisher: Wydawnictwo Uniwersytetu w Białymstoku
• Journal: Optimum. Studia Ekonomiczne
• Year: 2014
• Volume: 5(71)

Dates

published

2014

Contributors

author

Zaremba, Adam

author

Konieczka, Przemysław

Identifiers

URI

http://hdl.handle.net/11320/2912

DOI

10.15290/ose.2014.05.71.14