An Application of Factor Pricing Models to the Polish Stock Market
Adam Zaremba , Anna Czapkiewicz , Jan Jakub Szczygielski , Vitaly Kaganov
AbstractWe 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.
|Journal series||Emerging Markets Finance and Trade, ISSN 1540-496X, e-ISSN 1558-0938, (N/A 40 pkt)|
|Publication size in sheets||0.85|
|Keywords in Polish||wzrost aktywów, wycena aktywów, anomalie rynku kapitałowego, modele czynnikowe, momentum, polski rynek akcji, przekrój stóp zwrotu|
|Keywords in English||asset growth, asset pricing, equity anomalies, factor models, momentum, Poland, Polish stock market, profitability, size, the cross-section of returns, value|
|Score||= 40.0, 07-04-2020, ArticleFromJournal|
|Publication indicators||= 1; : 2018 = 0.684; : 2017 = 0.828 (2) - 2017=0.75 (5)|
|Citation count*||4 (2020-07-09)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.