Międzyrynkowe premie za wartość, wielkość i momentum na giełdach akcji

• Autorzy: Adam Zaremba , Przemysław Konieczka

Warianty tytułu

Inter-Country Value, Size and Momentum Premiums Across the Stock Markets

• Języki publikacji: PL

Abstrakty

Niniejszy artykuł koncentruje się na charakterystykach międzyrynkowych premii za wartość, wielkość i momentum na giełdach akcji. Przeprowadzone badanie poszerza stan wiedzy naukowej na dwa sposoby. Po pierwsze, dokumentuje funkcjonowanie efektów wskaźnika wartości księgowej do rynkowej, kapitalizacji i momentum na poziomie państw. Po drugie, wykazuje, że opisane efekty wzmacniają się nawzajem pozwalając budować portfele cechujące się ponadprzeciętnymi stopami zwrotu. Obliczenia bazują na notowaniach spółek z 66 państw w latach 2000-2013. (abstrakt oryginalny)

EN

The study examines the characteristics of inter-country value, size and momentum premiums. We contribute to the asset-pricing literature in two ways. First, we deliver evidence on value, size and momentum premiums across countries. Second, we demonstrate, that the country-level value, size and momentum premiums tend to strengthen each other in double-sorted portfolios. We investigate stock markets in 66 countries 2000 and 2013. (original abstract)

Słowa kluczowe

PL

Premia; Giełda; Wyniki badań

EN

Bonus; Stock exchange; Research results

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2014
• Tom: 15(XV)
• Numer: nr 4
• Strony: 246--255

Twórcy

autor

Adam Zaremba

• Uniwersytet Ekonomiczny w Poznaniu

autor

Przemysław Konieczka

• Szkoła Główna Handlowa w Warszawie

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