<abstract xmlns="http://www.w3.org/1999/xhtml"><p> 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.</p></abstract>

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.

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

przemyslaw.konieczka@doktorant.sgh.waw.pl

Financial Internet Quarterly

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

{"article-title":"Paper Profits From Value, Size and Momentum: Evidence from the Polish Market"}

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...

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

Published Online: Feb 08, 2017

Page range: 58 - 69

Received: Dec 18, 2014

Accepted: Sep 12, 2015

DOI: https://doi.org/10.1515/fiqf-2016-0119

Keywords
value premium, size premium, momentum effect, cross-section of stock returns, liquidity, transaction costs, Warsaw Stock Exchange, WSE, Polish stock market

© 2017

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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

Published Online: Feb 08, 2017

Page range: 58 - 69

Received: Dec 18, 2014

Accepted: Sep 12, 2015

DOI: https://doi.org/10.1515/fiqf-2016-0119

Keywordsvalue premium, size premium, momentum effect, cross-section of stock returns, liquidity, transaction costs, Warsaw Stock Exchange, WSE, Polish stock market

© 2017

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Keywords
value premium, size premium, momentum effect, cross-section of stock returns, liquidity, transaction costs, Warsaw Stock Exchange, WSE, Polish stock market