<abstract xmlns="http://www.w3.org/1999/xhtml">Oryginality and objective – Research on the pricing of stocks listed on developed markets shows inexplicable deviation from the pricing that could be observed with CAPM validity. A similar anomaly is found on the Polish market. Reasons for inconsistent pricing with CAPM are unknown, and they are the main objective of this research.Method – The study is conducted using stocks listed on the Warsaw Stock Exchange in 1995–2012. Quintile stock portfolios are formed on the basis of strategies widely used by investors. The study is carried out in several modes. In the subsequent modes penny stocks with the market values below 0.5, 1.5, 5.0 and 15.0 PLN are eliminated.Results – It is conjectured that both penny stocks and improper procedures for the test portfolios forming contribute to inconsistent stock pricing in light of the CAPM. The studies show that results are in line with the extended conjectures. Also, study results indicate that speculative stocks are mostly penny stocks, however, it is not possible to explicitly state that penny stock are speculative.</abstract>

Oryginality and objective – Research on the pricing of stocks listed on developed markets shows inexplicable deviation from the pricing that could be observed with CAPM validity. A similar anomaly is found on the Polish market. Reasons for inconsistent pricing with CAPM are unknown, and they are the main objective of this research.Method – The study is conducted using stocks listed on the Warsaw Stock Exchange in 1995–2012. Quintile stock portfolios are formed on the basis of strategies widely used by investors. The study is carried out in several modes. In the subsequent modes penny stocks with the market values below 0.5, 1.5, 5.0 and 15.0 PLN are eliminated.Results – It is conjectured that both penny stocks and improper procedures for the test portfolios forming contribute to inconsistent stock pricing in light of the CAPM. The studies show that results are in line with the extended conjectures. Also, study results indicate that speculative stocks are mostly penny stocks, however, it is not possible to explicitly state that penny stock are speculative.

The Impact Of Penny Stocks On The Pricing Of Companies Listed On The Warsaw Stock Exchange In Light Of The CAPM

AGH University of Science and Technology, Faculty of Management, Gramatyka 10, 30-067 Kraków, Poland

Jagiellonian University in Krakow, Faculty of Philosophy, Gołębia 24, 31-007 Krakow, Poland

Folia Oeconomica Stetinensia

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Oryginality and objective – Research on the pricing of stocks listed on developed markets shows inexplicable deviation from the pricing that could be observed...

The Impact Of Penny Stocks On The Pricing Of Companies Listed On The Warsaw Stock Exchange In Light Of The CAPM

Data publikacji: 03 cze 2015

Zakres stron: 163 - 178

Otrzymano: 23 wrz 2014

Przyjęty: 12 lis 2014

DOI: https://doi.org/10.1515/foli-2015-0015

Słowa kluczowe
stock pricing, penny stocks, stock portfolio, return changes

© University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

The Impact Of Penny Stocks On The Pricing Of Companies Listed On The Warsaw Stock Exchange In Light Of The CAPM

Data publikacji: 03 cze 2015

Zakres stron: 163 - 178

Otrzymano: 23 wrz 2014

Przyjęty: 12 lis 2014

DOI: https://doi.org/10.1515/foli-2015-0015

Słowa kluczowestock pricing, penny stocks, stock portfolio, return changes

© University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Słowa kluczowe
stock pricing, penny stocks, stock portfolio, return changes