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2009 | nr 22 | 163--168
Tytuł artykułu

Multifactor models of momentum portfolios on the Warsaw Stock Exchange, 1999-2009

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We have computed selected portfolio factor returns for the stocks listed on the WSE over the 1999-2009 period. There is a size premium on the WSE, while the size and sign of the value premium depends on the value factor used. Investors also seem to put a premium on corporate liquidity. Top momentum deciles as well as the momentum factor exhibit on average positive returns. Further, we tested a number of multifactor models of momentum portfolios. It appears that the SP factor based on the Sales/Price relative valuation of stocks has some power in explaining the momentum returns. Further testing of this and other factors introduced above, EP, CP and STI seems desirable. (original abstract)
Opis fizyczny
  • University of Warsaw
  • Artal Investments
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