Problems Related to the Capital Assets Pricing Model on the Warsaw Stock Exchange: Applications of the 5-Factor Fama and French Model

• Authors: Michał Gnap

Title variants

PL

Problemy związane z modelem wyceny aktywów kapitałowych na Giełdzie Papierów Wartościowych w Warszawie: Wykorzystanie 5-czynnikowego modelu Famy i Frencha

Abstracts

PL

Artykuł stanowi próbę empirycznej oceny możliwości zastosowania pięcioczynnikowego modelu Famy i Frencha w wyjaśnieniu przekrojowej zmienności stopy zwrotu z akcji na polskim rynku kapitałowym. Zgodnie z wynikami Famy i French, badanie to pokazuje, że kapitalizacja rynkowa przedsiębiorstwa, jego rentowność i towarzyszące czynniki ryzyka inwestycyjnego odgrywają ważną rolę w ocenie oczekiwanej stopy zwrotu z aktywów. Wielu badaczy poszukiwało od tego czasu alternatywnych modeli wyceny aktywów, które mogłyby służyć jako wzorcowy empiryczny model wyceny. Analiza przeprowadzona w tym artykule ma na celu sprawdzenie czy zrewidowany model pięcioczynnikowy, który obejmuje czynniki rentowności i inwestycji, jest w stanie złagodzić niektóre problemy modelu trójczynnikowego i może zostać włączony do wyjaśnienia przekroju stóp zwrotu z akcji notowanych na polskim rynku kapitałowym.

EN

This paper represents an attempt at empirically assessing the applicability of the Fama and French five-factor model in explaining the cross-sectional variation of stock return for the Polish market. Consistent with Fama and French results, this research shows that value, profitability and investment risk factors play an important role in assessing the expected return of an asset. Many researchers have since sought to identify alternative asset pricing models that could serve as the benchmark empirical asset-pricing model. It is hoped that the analysis conducted in this paper tests whether the revised five-factor model that incorporates the profitability and investment factors can address some of the issues of the three-factor model and could be incorporated in explaining the cross-section of stock returns for Poland.

Keywords

EN

Fama-French factors; asset pricing; Warsaw Stock Exchange

PL

pięcioczynnikowy model Famy-Frencha; wycena aktywów kapitałowych; Giełda Papierów Wartościowych w Warszawie

• Publisher: Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
• Journal: Studia i Materiały
• Year: 2022
• Issue: 1(36)
• Pages: 4-14

Dates

published

2022

Contributors

author

Michał Gnap

• Deloitte Audyt Spółka z o.o.

• https://orcid.org/000000023419032X

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Identifiers

DOI

10.7172/1733-9758.2022.36.1

Biblioteka Nauki

21492238