Paper Profits From Value, Size and Momentum: Evidence From the Polish Market

• Autorzy: Adam Zaremba , Przemysław Konieczka
• Języki publikacji: EN

Abstrakty

EN

In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyze the interdependences among the factors. Third, we investigate whether the factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are robust to transaction costs. Our research is based on all the stocks listed on the WSE in years 2001-2013. We find, that the value, momentum, and size premiums are to some extent present on the Polish market. Furthermore, they strengthen each other, but they disappear after accounting for transaction costs and liquidity. (original abstract)

Słowa kluczowe

EN

Equity market; Stock market indices; Stock market; Transaction cost

PL

Rynek akcji; Wskaźniki giełdowe; Giełda papierów wartościowych; Koszty transakcyjne

• Czasopismo: e-Finanse
• Rocznik: 2015
• Tom: 11
• Numer: nr 3
• Strony: 58--69

Twórcy

autor

Adam Zaremba

• Poznań University of Economics, Poland

autor

Przemysław Konieczka

• Warsaw School of Economics, Poland

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Identyfikatory

DOI

10.14636/1734-039X_11_3_005