Szczegóły publikacji
Opis bibliograficzny
An application of factor pricing models to the Polish stock market / Adam Zaremba, Anna CZAPKIEWICZ, Jan Jakub Szczygielski, Vitaly Kaganov // Emerging Markets Finance and Trade ; ISSN 1540-496X. — 2019 — vol. 55 iss. 9, s. 2039–2056. — Bibliogr. s. 2054–2056, Abstr.
Autorzy (4)
- Zaremba Adam
- AGHCzapkiewicz Anna
- Szczygielski Jan Jakub
- Kaganov Vitaly
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 121159 |
|---|---|
| Data dodania do BaDAP | 2019-04-24 |
| Tekst źródłowy | URL |
| DOI | 10.1080/1540496X.2018.1517042 |
| Rok publikacji | 2019 |
| Typ publikacji | artykuł w czasopiśmie |
| Otwarty dostęp |  |
| Czasopismo/seria | Emerging Markets Finance and Trade |
Abstract
We evaluate and compare the performance of four popular factor pricing models: the capital asset pricing model, the Fama and French three-factor model, Carhart’s four-factor model, and the five-factor model of Fama and French. We aim to establish which of these models is most applicable in the Polish stock market. To do so, we employ a battery of tests—cross-sectional regressions, examination of one-way and two-way sorted portfolios, tests of monotonic relationships, and factor redundancy tests—and apply them to a sample of more than 1100 stocks for the years 2000–2018. The results indicate that the four-factor model outperforms the other models; it has the greatest explanatory ability for cross-sectional returns and is therefore well-suited for asset pricing in Poland.
