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

• Autorzy: Adam Zaremba , Przemysław Konieczka
• Języki publikacji: EN

Abstrakty

EN

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. (original abstract)

Słowa kluczowe

EN

Stock rate of returns; Capital market; Portfolio analysis

PL

Stopa zwrotu akcji; Rynek kapitałowy; Analiza portfelowa

• Czasopismo: Optimum : studia ekonomiczne
• Rocznik: 2014
• Numer: nr 5 (71)
• Strony: 188--197

Twórcy

autor

Adam Zaremba

• Poznań University of Economics, Poland

autor

Przemysław Konieczka

• Warsaw School of Economics, Poland

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