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An Application Of Factor Pricing Models To The Polish Stock Market
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Book Synopsis An Application of Factor Pricing Models to the Polish Stock Market by : Adam Zaremba
Download or read book An Application of Factor Pricing Models to the Polish Stock Market written by Adam Zaremba and published by . This book was released on 2018 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate and compare the performance of four popular factor pricing models: the capital asset pricing model (Sharpe 1964), the Fama and French (1993) three-factor model, Carhart's (1997) four-factor model, and the five-factor model of Fama and French (2015). We aim to establish which of these models is most applicable in the Polish stock market. To do so, we employ a battery of tests -- cross-sectional regressions, examination of one-way and two-way sorted portfolios, tests of monotonic relationships, and factor redundancy tests -- and apply them to a sample of more than 1100 stocks for the years 2000-2018. The results indicate that the four-factor model outperforms the other models; it has the greatest explanatory power for cross-sectional returns and is therefore well-suited for asset pricing in Poland.
Book Synopsis Size, Value, and Momentum in Polish Equity Returns by : Adam Zaremba
Download or read book Size, Value, and Momentum in Polish Equity Returns written by Adam Zaremba and published by . This book was released on 2017 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, I test the performance of the CAPM, Fama-French three-factor and Carhart four-factor models on the Polish market. I use stock level data from April 2001 to January 2014. I find strong evidence for the value and momentum effects, but only weak evidence for the size premium. I form portfolios double-sorted on size and book-to-market ratios, as well as on size and momentum, and I try to explain their returns with the above-mentioned asset pricing models. The CAPM model is rejected and the three-factor and four-factor models perform well for the size and B/M sorted portfolios, but fail to explain the returns on the size and momentum sorted portfolios. With the exception of the momentum factor, the 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.
Book Synopsis Factor Returns in the Polish Equity Market by : Adam Zaremba
Download or read book Factor Returns in the Polish Equity Market written by Adam Zaremba and published by . This book was released on 2016 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ability to indicate factors which best explains common variation in stock returns, is crucial to construction of a correct pricing model and forecasting equity returns. Taking into account long finance literature, firm characteristics such as market capitalization, book-to-market ration, the short-term history of past returns, or market turnover are important determinants of stock returns. This study seeks to identify factors important for forecasting changes in stock prices in Poland. The paper examines the relationships between common stock returns and four well-recognized factors: size, value, momentum and liquidity. First, we review existing literature in the field. Second, we investigate the relationship between fundamental factors and stock returns in the Polish market. We study also interactions between separate factors. We perform a long/short portfolio analysis based on all stocks listed on the Warsaw Stock Exchange between 2000 and 2012. We find that historically in Poland it was possible to build factor-based portfolios which outperformed the broad market. However, the Polish market seems too young to derive some significant statistical interference.
Book Synopsis The Profitability of Following Analyst Recommendations on the Polish Stock Market by : Adam Zaremba
Download or read book The Profitability of Following Analyst Recommendations on the Polish Stock Market written by Adam Zaremba and published by . This book was released on 2015 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: The profitability of analysts' recommendations is documented in numerous studies from all over the world. However, the evidence from the Polish market is relatively modest. The primary aim of this study is to fill this gap. The paper contributes to the economic literature in four ways. First, it provides fresh out-of-sample evidence on return patterns following analysts' recommendations from Poland. Second, it examines the relations between these patterns and the size of the rated companies. Finally, it investigates whether it is possible to design profitable strategies based on the discovered patterns. We use monthly stock level data from Poland and the sample period is 2004-2013. In order to examine the profitability of analysts' reports, we build market-neutral portfolios and test their performance against CAPM, Fama-French three-factor and Carhart four-factor models.The principal findings can be summarized as follows. First, we document that the top rated companies deliver better returns than the bottom rated companies. Second, we find that the profitability is particularly impressive among the small companies. Third, the abnormal returns are partially explained by momentum and value based factors. Finally, we provide evidence that strategies based on information in recommendations deliver statistically significant positive abnormal rates of return.
Book Synopsis Understanding the Polish Capital Market by : Marek Dietl
Download or read book Understanding the Polish Capital Market written by Marek Dietl and published by Taylor & Francis. This book was released on 2022-12-30 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first stock exchange in Warsaw – capital city of the Kingdom of Poland– was established in 1817. Over the past 205 years, the fortunes of the capital market have been closely linked to the "bumpy road" of Polish history. The establishment of the GPW Warsaw Stock Exchange in 1991 was a landmark for transformation from a centrally planned communist economy to a market-driven capitalist one. Since the doors of the exchange reopened, Polish GDP per capita (current USD) increased eight times, translating into an average yearly growth rate of over 7%. The capital market has played a pivotal role in the economic success of Poland over the last three decades. It is not easy to precisely quantify the impact, as it was rather a spill-over effect. Economic growth has fostered the development of a capital market, and more efficient conversion of savings to investments via the capital market. The excellence of capital market institutions can be gauged with reference to various parameters. A synthetic measure is so-called market status. According to FTSE Russell (global index provider), Polish capital attained developed market status in 2018, being the first and only post-communist state to do so. It is fair to say that transformation has been completed and developed market status indicates clearly that the institutions and regulations are world class. The current challenge is competing with other developed markets for the best issuers and offering the most demanding investors an excellent trading experience. This book offers scientific insight into the Polish capital market story. Authored by a group of renowned scholars, with contributions aspiring to the highest academic standards for theoretical considerations and empirical research. The book covers various topics, including links between monetary policy and capital markets, micro and macro market structures, and investors and issuers' behaviour and strategies. All chapters are rooted in contemporary finance theory, supported by various econometric models based on the most recently available data. The book aims to provide academics and practitioners insight into the Polish capital market, appealing especially to those interested in gaining a deeper understanding of emerging markets' successful transformation into developed ones. It can also be used as supplementary reading for doctoral and master’s students in finance, particularly relating to capital markets and economics – predominantly development economics and economic policy.
Book Synopsis Market, Macroeconomic, and Behavioural Factors in Emerging Markets by : Tomasz Schabek
Download or read book Market, Macroeconomic, and Behavioural Factors in Emerging Markets written by Tomasz Schabek and published by . This book was released on 2018 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test a broad set of market, macroeconomic, and behavioural factors in the Polish stock market using local and US data. In time series regressions, employing general to specific modelling and principal component analysis, we find that both local and foreign aggregate indicators significantly predict the behaviour of a broad portfolio of Polish stocks. However, no common factor is able to explain the cross-section of expected returns in Poland. Only firm-specific characteristics, in particular, market/book value and momentum, show significance in the cross-sectional analysis. Our results are consistent with recent methodological critiques, suggesting that most candidate factors fail to explain the cross-section of expected returns when more stringent inference procedures are adopted.
Book Synopsis The Low Price Anomaly by : Adam Zaremba
Download or read book The Low Price Anomaly written by Adam Zaremba and published by . This book was released on 2016 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the low-price effect on the Polish stock market. By adopting sorting, cross-sectional tests and checks of the monotonic relation, we have examined the performance of the portfolios formed on the prices of over 850 companies listed on the Polish stock market within the years 2000-2014. Contrary to the globally prevailing evidence, the expensive stocks have significantly outperformed the cheap stocks. Additional sorts on value, size and momentum may be used further to improve the price-based strategies while the strongest anomaly has been identified among the growth companies. We hypothesize that the reverse character of the low-price anomaly may be explained by the impact of another phenomena: the underperformance of lottery-stocks. With the exception of the growth stocks, the reverse low-price effect is no longer significant after the exclusion of NewConnect companies. Finally, by adopting an alternative methodology, we have provided convincing out-of-sample evidence in support of the hypothesis of Baker et al. (2009) stating that corporate managers cater to investors by splitting their company shares in response to time-varying catering incentives.
Book Synopsis Factor Investing and Asset Allocation: A Business Cycle Perspective by : Vasant Naik
Download or read book Factor Investing and Asset Allocation: A Business Cycle Perspective written by Vasant Naik and published by CFA Institute Research Foundation. This book was released on 2016-12-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Cross-section of Stock Returns by : Stijn Claessens
Download or read book The Cross-section of Stock Returns written by Stijn Claessens and published by World Bank Publications. This book was released on 1995 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Abnormal Trading Around Common Factor Pricing Models by : Chris Yost-Bremm
Download or read book Abnormal Trading Around Common Factor Pricing Models written by Chris Yost-Bremm and published by . This book was released on 2014 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: I find that firms which are predicted to transfer among the factor portfolios of Fama and French (1993) exhibit strong and statistically significant short-term variation in stock price and volume. Short-term returns around the cutoff values comprising SMB and HML tend to be temporarily high if the firm is predicted to move into a long component of a factor-mimicking portfolio, and temporarily low if moving into a short component. Similar results are apparent when examining movement in and out of the 25 size and book-to-market sorted test asset portfolios. Using the investor classifications provided by Bushee (2001), I find that return and volume effects are strongest when highly active institutional investors are in consensus about newly entering into an equity position in the firm. The results raise interesting methodological questions about the pricing implications arising from common methodologies themselves.
Book Synopsis Effective Investments on Capital Markets by : Waldemar Tarczyński
Download or read book Effective Investments on Capital Markets written by Waldemar Tarczyński and published by Springer. This book was released on 2019-07-17 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume presents current research and innovative solutions into capital markets, particularly in Poland. Featuring contributions presented at the 10th Capital Market Effective Investments (CMEI 2018) conference held in Międzyzdroje, Poland, this book explores the future of capital markets in Poland as well as comparing it with the capital markets of other developed regions around the world. Divided into four parts, the enclosed papers provide a background into the theoretical foundations of capital market investments, explores different approaches—both classical and contemporary—to investment decision making, analyzes the behaviors of investors using experimental economics and behavioral finance, and explores practical issues related to financial market investments, including real case studies. In addition, each part of the book begins with an introductory chapter written by thematic editors that provides an outline of the subject area and a summary of the papers presented.
Book Synopsis A Risk-Based Explanation of Return Patterns -- Evidence from the Polish Stock Market by : Antonina Waszczuk
Download or read book A Risk-Based Explanation of Return Patterns -- Evidence from the Polish Stock Market written by Antonina Waszczuk and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using both sorting and cross-sectional tests, this paper investigates the patterns in the average stock returns related to stock fundamentals, past return performance, idiosyncratic risk, and turnover in the Polish equity market for the period 2002-2011. To examine the persistence of the patterns, we apply the Monotonic Relation test of Patton and Timmermann (2010). The results favour the book-to-market ratio as a determinant of the cross-sectional variation of stock returns while momentum remains insignificant. The Fama and French (1993) three-factor model, which uses local size and value risk premiums adjusted for the skewed size distribution of the sample, captures most of the recognised anomalies. Further, we show that Polish domestic SMB and HML factors are not correlated with their U.S. and German counterparts.
Book Synopsis Evaluating Factor Pricing Models Using High Frequency Panels by : Yoosoon Chang
Download or read book Evaluating Factor Pricing Models Using High Frequency Panels written by Yoosoon Chang and published by . This book was released on 2015 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a new framework and statistical tools to analyze stock returns using high frequency data. We consider a continuous-time multi-factor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities with leverage effects. We find that conventional regression approach often leads to misleading and inconsistent test results. We overcome this by using samples collected at random intervals, which are set by the clock running inversely proportional to the market volatility. We find that the size factor has difficulty in explaining the size-based portfolios, while the book-to-market factor is a valid pricing factor.
Book Synopsis Applications of Mathematics in Economics by : Warren Page
Download or read book Applications of Mathematics in Economics written by Warren Page and published by MAA. This book was released on 2013 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: Shows instructors what mathematics is used at the undergraduate level in various parts of economics. Separate sections provide students with opportunities to apply their mathematics in relevant economics contexts. Brings together many different mathematics applications to such varied economics topics.
Book Synopsis Guide to Financial Markets by : Marc Levinson
Download or read book Guide to Financial Markets written by Marc Levinson and published by The Economist. This book was released on 2018-07-24 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: The revised and updated 7th edition of this highly regarded book brings the reader right up to speed with the latest financial market developments, and provides a clear and incisive guide to a complex world that even those who work in it often find hard to understand. In chapters on the markets that deal with money, foreign exchange, equities, bonds, commodities, financial futures, options and other derivatives, the book examines why these markets exist, how they work, and who trades in them, and gives a run-down of the factors that affect prices and rates. Business history is littered with disasters that occurred because people involved their firms with financial instruments they didn't properly understand. If they had had this book they might have avoided their mistakes. For anyone wishing to understand financial markets, there is no better guide.
Book Synopsis Price-Based Investment Strategies by : Adam Zaremba
Download or read book Price-Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Book Synopsis On Market Timing and Investment Performance Part I by : Robert C Merton
Download or read book On Market Timing and Investment Performance Part I written by Robert C Merton and published by Legare Street Press. This book was released on 2022-10-27 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work is in the "public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
