Comparison of a Modified and Classic Fama-French Model for the Polish Market

• Autorzy: Stanisław Urbański
• Języki publikacji: EN

Abstrakty

EN

This paper shows a comparison of the results of return, risk, and risk price simulation by a modified and classic Fama-French model. The modified model defines the new ICAPM state variable as a function of the structure of a company's past financial results. The model tests are run on the basis of stocks listed on the Warsaw Stock Exchange. In light of the classic model the risk price, on the tested market, turned out univariate due to HML, however, in light of the modified model, risk price turned out to be threedimensional due to the proposed factors, and market portfolio. The factors of the modified model, compared with the HML and SMB, are widely perceived by portfolio managers, and the simulation results indicate a greater possibility to use this pricing application by large institutional investors.(original abstract)

Słowa kluczowe

EN

Risk assessment; Fama-French model; Capital market; Management of investment portfolio

PL

Ocena ryzyka; Model Famy i Frencha; Rynek kapitałowy; Zarządzanie portfelem inwestycyjnym

• Czasopismo: Folia Oeconomica Stetinensia
• Rocznik: 2017
• Numer: vol. 17, iss. 1
• Strony: 80--96

Twórcy

autor

Stanisław Urbański

• AGH University of Science and Technology Kraków, Poland

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Identyfikatory

DOI

10.1515/foli-2017-0007