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

• Autorzy: Wojciech Grabowski , Konrad Rotuski
• Języki publikacji: PL

Abstrakty

EN

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)

Słowa kluczowe

PL

Wieloczynnikowa analiza porównawcza; Metody portfelowe; Metoda momentów

EN

Multivariate comparative analysis; Portfolio methods; Moment method

• Czasopismo: Ekonomia / Uniwersytet Warszawski
• Rocznik: 2009
• Numer: nr 22
• Strony: 163--168

Twórcy

autor

Wojciech Grabowski

• University of Warsaw

autor

Konrad Rotuski

• Artal Investments

Bibliografia

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