Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2013 | vol. 9, iss. 3 | 79--86
Tytuł artykułu

Company Size, Book-to-Market and Momentum Effects, and Other Deviations from the CAPM - Evidence from the Warsaw Stock Exchange

Treść / Zawartość
Warianty tytułu
Języki publikacji
Capital Asset Pricing Model is one of the most popular models applied to explain the risk premium for capital employment. The model has been tested for developed capital markets with conclusions that emphasised many of its imperfections. Some of these imperfections are connected with company characteristics, such as a company's size, book-to-market value etc. The aim of the research is to test whether the anomalies of the CAPM that have been pointed out so far are also true for Poland. I concentrate on companies listed on the Warsaw Stock Exchange during 2007-2010. The event study is applied to identify these anomalies. The research results reveal that the expected returns approximated by the CAPM are contaminated during the evaluation process. This is in line with the conclusions of a previous research paper discussing developed countries. (original abstract)
Opis fizyczny
  • Poznań University of Economics, Poland
  • Ahern, K.R., 2009. "Sample selection and event study estimation", Journal of Empirical Finance, Vol.16, pp.466-482,
  • Brown, S.J., Warner, J.B., 1980. "Measuring security price performance", Journal of Financial Economics, Vol. 8, pp.205-258,
  • Brown, S.J., Warner, J.B., 1985. "Using daily stock returns - the case of event studies", Journal of Financial Economics, Vol. 14, pp.3-31,
  • Campbell, J.Y., Lo, A.W., MacKinlay, A.C., 1997. The econometrics of financial markets, Princeton University Press, Princeton, New Jersey
  • Fama, E.F.; Fisher, L.; Jensen, M.C.; Roll, R., 1969. "The adjustment of stock prices to new information", International Economic Review, Vol. 10, pp.1-21,
  • Kothari, S.P., Warner, J.B., 2008. "Econometrics of event studies", in: Eckbo B.E. (ed.), Handbook of Corporate Finance. Empirical Corporate Finance. Vol 1, Elsevier/North-Holland, Amsterdam, pp.3-36
Typ dokumentu
Identyfikator YADDA

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.