The Relations between Momentum, Value, Size, and Liquidity Factors and Stock Returns on the Polish Market

Adam Zaremba , Przemysław Konieczka

Abstract

The paper examines the relations between selected company characteristics and common stock returns. In the paper, we concentrate on four well-recognized fundamental factors determining stock returns: momentum, value, size and liquidity. First, we review the existing literature in the field. Second, we investigate the relationship between fundamental factors and stock returns on the Polish market. Our computations are based on all companies on the Warsaw Stock Exchange listed in the period 2000-12. Our research provides fresh out-of-sample evidence for momentum, value, size and liquidity premium from the Polish market.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Przemysław Konieczka - Szkoła Główna Handlowa w Warszawie (SGH)
Przemysław Konieczka,,
-
Journal seriesOptimum. Studia Ekonomiczne, ISSN 1506-7637, (B 10 pkt)
Issue year2014
No5
Pages188-197
Publication size in sheets0.5
Keywords in Englishvalue, size, momentum, cross-section of stock returns, Polish market, Warsaw Stock Exchange
DOIDOI:10.15290/ose.2014.05.71.14
Languageen angielski
Score (nominal)10
Score sourcejournalList
ScoreMinisterial score = 8.0, 10-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 10.0, 10-12-2019, ArticleFromJournal
Citation count*3 (2020-09-10)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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