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An Application of Factor Pricing Models to the Polish Stock Market
Zaremba, Adam - 2018
cross-sectional returns and is therefore well-suited for asset pricing in Poland …
Persistent link: https://www.econbiz.de/10012912382
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The profitability of following analyst recommendations on the Polish stock market
Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 22-31
analysts' recommendations from Poland. Second, it examines the relations between these patterns and the size of the rated … 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 …
Persistent link: https://www.econbiz.de/10011393259
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Paper profits from value, size and momentum : Evidence from the Polish market
Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69
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 analyzemthe...
Persistent link: https://www.econbiz.de/10011455379
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The low price effect on the Polish market
Zaremba, Adam; Żmudziński, Radosław - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 1, pp. 69-85
In this paper we investigate the characteristics of the low price anomaly, which implies higher returns to stocks with a low nominal price. The research aims to broaden academic knowledge in a few ways. Firstly, we deliver some fresh evidence on the low price effect from the Polish market....
Persistent link: https://www.econbiz.de/10010390247
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The Low Price Anomaly : the Intriguing Case of the Polish Stock Market
Zaremba, Adam - 2016
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...
Persistent link: https://www.econbiz.de/10013004742
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Factor Returns in the Polish Equity Market
Zaremba, Adam - 2016
determinants of stock returns. This study seeks to identify factors important for forecasting changes in stock prices in Poland … Poland it was possible to build factor-based portfolios which outperformed the broad market. However, the Polish market seems …
Persistent link: https://www.econbiz.de/10013007030
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The Profitability of Following Analyst Recommendations on the Polish Stock Market
Zaremba, Adam - 2015
analysts' recommendations from Poland. Second, it examines the relations between these patterns and the size of the rated … 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 …
Persistent link: https://www.econbiz.de/10013033604
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The Momentum Effect in Country-Level Stock Market Anomalies
Zaremba, Adam - 2019
The aim of this paper is to investigate the momentum effect in country-level anomalies in global equity markets. By using a sample of 78 countries for the period from 1995 to 2015, we test a set of potential 40 cross-sectional inter-market anomalies, some of which had never been examined before....
Persistent link: https://www.econbiz.de/10012904212
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The Cross-Section of Returns in Frontier Equity Markets : Integrated or Segmented Pricing?
Zaremba, Adam - 2019
Is asset pricing segmented or integrated in frontier equity markets? To answer this question, we examine the returns on more than 4,500 stocks from 22 frontier countries for the years 1997–2018. We evaluate the performance of a few major asset pricing models. We document strong value and...
Persistent link: https://www.econbiz.de/10012893028
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Country Risk and Expected Returns across Global Equity Markets
Zaremba, Adam - 2016
Assessing and pricing country risk poses a considerable challenge to tactical asset allocation across national equity markets. This research examines the relationship between the country composite risk (together with its component risks related to: sovereign credit, currency, banking sector,...
Persistent link: https://www.econbiz.de/10012992516