Factor Returns in the Polish Equity Market
Adam Zaremba , Przemysław Konieczka
AbstractThe ability to indicate factors which best explains common variation in stock returns, is crucial to construction of a correct pricing model and forecasting equity returns. Taking into account long finance literature, firm characteristics such as market capitalization, book-to-market ration, the short-term history of past returns, or market turnover are important determinants of stock returns. This study seeks to identify factors important for forecasting changes in stock prices in Poland. The paper examines the relationships between common stock returns and four well-recognized factors: size, value, momentum and liquidity. First, we review existing literature in the field. Second, we investigate the relationship between fundamental factors and stock returns in the Polish market. We study also interactions between separate factors. We perform a long/short portfolio analysis based on all stocks listed on the Warsaw Stock Exchange between 2000 and 2012. We find that historically in Poland it was possible to build factor-based portfolios which outperformed the broad market. However, the Polish market seems too young to derive some significant statistical interference.
|Journal series||Procedia -Social and Behavioral Sciences, ISSN 1877-0428, (0 pkt)|
|Publication size in sheets||0.5|
|Conference||2nd International Scientific Conference „Contemporary Issues in Business, Management and Education 2013" (CBME-2013), 11-05-2013 - 12-05-2013, Vilnius, Litwa|
|Keywords in English||factor returns, momentum, size, value, liquidity|
|Score|| = 0.0, 10-12-2019, ArticleFromJournal|
= 5.0, 10-12-2019, ArticleFromJournal
|Publication indicators||= 1|
|Citation count*||4 (2020-09-10)|
|Special Issue||The 2-dn International Scientific conference „Contemporary Issues in Business, Management and Education 2013“|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.