<abstract xmlns="http://www.w3.org/1999/xhtml"><p>This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart four-factor models on the Polish market. We use stock level data from April 2001 to January 2014 and find strong evidence for value and momentum effects, but only weak evidence for size premium. We formed portfolios double-sorted on size and book-to-market ratios, as well as on size and momentum, and we explain their returns with the above-mentioned asset pricing models. The CAPM is rejected and the three-factor and four-factor models perform well for the size and B/M sorted portfolios, but fail to explain returns on the size and momentum sorted portfolios. With the exception of the momentum factor, local Polish factors are not correlated with their European and global counterparts, suggesting market segmentation. Finally, the international value, size and momentum factors perform poorly in explaining cross-sectional variation in stock returns on the Polish market.</p></abstract>

This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart four-factor models on the Polish market. We use stock level data from April 2001 to January 2014 and find strong evidence for value and momentum effects, but only weak evidence for size premium. We formed portfolios double-sorted on size and book-to-market ratios, as well as on size and momentum, and we explain their returns with the above-mentioned asset pricing models. The CAPM is rejected and the three-factor and four-factor models perform well for the size and B/M sorted portfolios, but fail to explain returns on the size and momentum sorted portfolios. With the exception of the momentum factor, local Polish factors are not correlated with their European and global counterparts, suggesting market segmentation. Finally, the international value, size and momentum factors perform poorly in explaining cross-sectional variation in stock returns on the Polish market.

Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?

Department of Investment and Capital Markets

International Journal of Management and Economics

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

This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart four-factor models on the Polish...

Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?

Data publikacji: 29 wrz 2017

Zakres stron: 26 - 47

DOI: https://doi.org/10.1515/ijme-2017-0017

Słowa kluczowe
value effect, size effect, momentum effect, Fama-French three-factor model, Carhart four-factor model, Polish market, asset pricing, market segmentation

© 2017 Adam Zaremba et al., published by De Gruyter Open

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

Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?

Data publikacji: 29 wrz 2017

Zakres stron: 26 - 47

DOI: https://doi.org/10.1515/ijme-2017-0017

Słowa kluczowevalue effect, size effect, momentum effect, Fama-French three-factor model, Carhart four-factor model, Polish market, asset pricing, market segmentation

© 2017 Adam Zaremba et al., published by De Gruyter Open

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

Słowa kluczowe
value effect, size effect, momentum effect, Fama-French three-factor model, Carhart four-factor model, Polish market, asset pricing, market segmentation