Some Features of the Three- and Four-factor Models for the Selected Portfolios of the Stocks Listed on the Warsaw Stock Exchange, 2003-2007

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

Abstrakty

EN

The paper presents some initial results of the investigation of the standard multifactor models of portfolio returns for several types of sorted portfolios of the stocks listed on the Warsaw Stock Exchange (WSE). In this way the paper contributes to the understanding of the multifactor explanations of returns in the emerging markets, previously explored e.g. by Rouwenhorst [1999], van der Hart et al. [2003, 2005] and Jung et al. [2008]. First, we examine summary statistics of returns on the sorted portfolios as well as the magnitude of the size, value and momentum premiums. Next we check which models perform best in explaining the portfolio returns. Finally, we check if the models can identify some sources of profits of these portfolios. (fragment of text)

Słowa kluczowe

EN

Multivariate comparative analysis; Warsaw Stock Exchange Index; Economic models

PL

Wieloczynnikowa analiza porównawcza; Warszawski Indeks Giełdowy (WIG); Modele ekonomiczne

• Czasopismo: Ekonomia / Uniwersytet Warszawski
• Rocznik: 2008
• Numer: nr 21
• Strony: 257--270

Twórcy

autor

Wojciech Grabowski

• University of Warsaw

autor

Konrad Rotuski

• University of Warsaw

Bibliografia

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