The present paper is an attempt to explain the cross-time changes of rates of return on the Polish market. The two- and three-factor evaluation model of capital assets is proposed. It is based on the aggregated explanatory variables dependent on the dynamics of changes of company assessment parameters as well as the current parameters of its evaluation. The proposed procedures, to some extent, result from a modification of Fama's and French's three-factor model. However, it seems that the applied explanatory variables have a stronger content-related justification, which turned out to be possible thanks to the research conducted and published worldwide in 1993-2006. On the basis of the obtained results and tests it seems that the proposed model in both versions describes the changes of rates of return on the Polish market in an appropriate way, and the conclusions resulting from the considerations of specified boundary conditions may serve as valuable guidelines for the investors
(Polish title - 'Wplyw opóznionych zmiennych warunkowych na zmiany stóp zwrotu akcji notowanych na GPW w Warszawie'). The paper presents the testing of Fama and French three-factor model and the two- and three-factor aggregated model proposed earlier by the author. The conducted test concerns the impact of condition variables on changes to the rates of return on the shares quoted on the Warsaw Stock Exchange main market for 1995-2005. The analysis is based on the procedure proposed by Ferson and Harvey (1999). Fama and French lagged factors act as condition variables, the lagged rate of return on free-from-risk shares and lagged factor HMLF of the proposed aggregated model. The results of the analysis lead to the conclusion that the lagged rate of return on free-from-risk shares contributes additional information both to Fama and French model and the aggregated model. It implies that the two procedures may not be regarded as the examples of condition models. Lagged factor HMLF also has an impact on Fama and French model. On the other hand, no impact is recorded of Fama and French lagged factors on the description of the rates of return by means of the aggregated model. On the basis of the obtained results one should noute that the aggregated 2-factor and 3-factor models explain the cross section of average returns of shares listed on the Polish market better than Fama and French 3-factor model.
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