The Relations between Momentum, Value, Size, and Liquidity Factors and Stock Returns on the Polish Market
Adam Zaremba , Przemysław Konieczka
AbstractThe 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.
|Journal series||Optimum. Studia Ekonomiczne, ISSN 1506-7637, (B 10 pkt)|
|Publication size in sheets||0.5|
|Keywords in English||value, size, momentum, cross-section of stock returns, Polish market, Warsaw Stock Exchange|
|Score|| = 8.0, 10-12-2019, ArticleFromJournal|
= 10.0, 10-12-2019, ArticleFromJournal
|Citation count*||3 (2020-09-10)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.