The four-factor asset pricing model on the Polish stock market

Bibliographic Data

ID15067010
AuthorsAnna Czapkiewicz (0000-0002-6144-8381, AGH University of Krakow), Tomasz Wójtowicz (0000-0002-9703-3225, AGH University of Krakow)
Year2014
Volume27
Issue1
Pages771-783
Publication date2014-01-01
Peer ReviewedYes
Open AccessYes
TypeARTICLE
VenueEconomic Research-Ekonomska Istraživanja (JOURNAL)
Journal identifiersISSN: 1331-677X • E-ISSN: 1848-9664
PublisherInforma UK Limited (PUBLISHER • GB)
DOI10.1080/1331677x.2014.975518
OpenAlexW1972858822
LanguageEN
Citations received1
References cited20

In the three-factor asset pricing model a cross sectional portfolio returns variation is explained by the excess return of the market portfolio (RM), stock capitalisation and a factor associated with the book-to-market (B/M) ratio. This model, however, does not explain the momentum effect. Since this effect is present on many stock markets, the three-factor model is augmented by the momentum factor. This article presents the study of the four-factor asset pricing model on the Warsaw Stock Exchange (WSE) which is one of the largest stock markets in Central and Eastern Europe. The empirical analysis is based on monthly data from the period April 2003–December 2012 which includes different stages of the business cycle. This article shows that momentum is a significant factor on the WSE and the four-factor model describes the returns variation much better than the three-factor model

Arbitrage pricing theory · Capital asset pricing model · Consumption-based capital asset pricing model · Econometrics · Economics · Factor analysis · Financial economics · Geography · Market capitalization · Market portfolio · Portfolio · Stock exchange · Stock market · Engineering · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling · Stochastic processes and financial applications · Finance

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