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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

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

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

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

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

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

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

Liquidity and the Cross-Section of International Stock Returns

Cakici, Nusret; Zaremba, Adam - 2021

We perform a comprehensive investigation of the illiquidity premium in international stock markets. We examine several established liquidity measures in 45 countries for the years 1990–2020. Our findings provide convincing evidence that liquidity pricing depends strongly on firm size. Although...

Persistent link: https://www.econbiz.de/10013238996

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

Is there Momentum in Factor Premia? Evidence from International Equity Markets

Zaremba, Adam - 2019

This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of...

Persistent link: https://www.econbiz.de/10012893036