MULTIFACTOR MODELS OF MOMENTUM PORTFOLIOS ON THE WARSAW STOCK EXCHANGE, 1999-2009

• Authors: Grabowski Wojciech , Rotuski Konrad
• Languages of publication: EN

Abstracts

EN

The authors computed selected portfolio factor returns for the stock listed on the WSE over the 1999-2009 period. There is a size premium on the WSE, while the size and sign of the value premium depends on the value factor used. Investors also seem to put a premium on corporate liquidity. Top momentum deciles as well as the momentum factor exhibit on average positive returns. Further the authors tested a number of multifactor models of momentum portfolios. It appears that the SP factor based on he Sales/Prices relative valuation of stocks has some power in explaining the momentum returns. Further testing of this and other factors introduced above, EP, CP and ATI sems desirable

Keywords

EN

MOMENTUM PORTFOLIOS; PORTFOLIO FACTOR RETURNS

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Wydział Nauk Ekonomicznych Uniwersytetu Warszawskiego
• Journal: Ekonomia. Rynek, Gospodarka, Społeczeństwo
• Year: 2009
• Issue: 22
• Pages: 163-168
• Document type: ARTICLE

Contributors

author

Grabowski Wojciech

author

Rotuski Konrad

• Wojciech Grabowski, Uniwersytet Warszawski, Wydzial Nauk Ekonomicznych, ul. Dluga 44/50, 00-241 Warszawa, Poland

Identifiers

CEJSH db identifier

10PLAAAA07229