An Application of Factor Pricing Models to the Polish Stock Market

Adam Zaremba , Anna Czapkiewicz , Jan Jakub Szczygielski , Vitaly Kaganov


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.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Anna Czapkiewicz - AGH University of Science and Technology (AGH), MNiSW [80]
Anna Czapkiewicz,,
, Jan Jakub Szczygielski - University of Pretoria, Pretoria, South Africa
Jan Jakub Szczygielski ,,
, Vitaly Kaganov (PUEB)
Vitaly Kaganov,,
- Poznań University of Economics and Business
Journal seriesEmerging Markets Finance and Trade, ISSN 1540-496X, e-ISSN 1558-0938, (N/A 40 pkt)
Issue year2019
Publication size in sheets0.85
Keywords in Polishwzrost aktywów, wycena aktywów, anomalie rynku kapitałowego, modele czynnikowe, momentum, polski rynek akcji, przekrój stóp zwrotu
Keywords in Englishasset growth, asset pricing, equity anomalies, factor models, momentum, Poland, Polish stock market, profitability, size, the cross-section of returns, value
ASJC Classification2000 General Economics, Econometrics and Finance; 2003 Finance
Languageen angielski
Score (nominal)40
Score sourcejournalList
ScoreMinisterial score = 40.0, 07-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 1; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.684; WoS Impact Factor: 2017 = 0.828 (2) - 2017=0.75 (5)
Citation count*5 (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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