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Using the ICAPM to estimate the cost of capital of stock portfolios: empirical evidence on the Warsaw Stock Exchange
Urba´nski, Stanislaw; Leśkow, Jacek - In: Statistics in transition : an international journal of … 21 (2020) 1, pp. 73-94
The aim of this paper is to present the method for estimating the cost of capital of typical portfolios available on the Warsaw Stock Exchange. The authors introduce the three factor Fama-French model and its two modifications. They also apply the bootstrap method to evaluate the variability of...
Persistent link: https://www.econbiz.de/10012183556
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Expected Equity Returns Should Correlate with Idiosyncratic Risk
Bruno, Giovanni - 2018
market price of risk. We show empirically that a conditional CAPM that accounts for time variation in equity nonlinearity …
Persistent link: https://www.econbiz.de/10012910108
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Liquidity and solvency of a company and the rate of return : an analysis of the Warsaw Stock Exchange
Zalewska, Justyna; Nehrebecka, Natalia - In: Central European economic journal 6 (2019) 53, pp. 199-220
still not clear. Poland is the most economically developed country in Central and Eastern Europe. A thorough analysis is … of the capital asset pricing model (CAPM) model and analysed portfolios based on three liquidity ratios and four solvency … ratios, which were computed using the CAPM, Fama–French and Carhart models. The empirical study described in the article …
Persistent link: https://www.econbiz.de/10012303197
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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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Size, value and liquidity : do they really matter on an emerging stock market?
Lischewski, Judith; Voronkova, Svitlana - 2010
Schwellenländern erklären. Sie fokussiert auf den polnischen Aktienmarkt, der bisher in diesem Forschungsbereich nicht berücksichtigt …, Unternehmensgröße und Buch-zu-Marktwert analysieren wir daher, inwiefern Liquidität bei der Preisbildung auf dem polnischen Aktienmarkt … Aktienmarkt relevant sind. Im Gegensatz zu den Erwartungen bezüglich des Einflusses des Liquiditätsfaktors finden wir keinen …
Persistent link: https://www.econbiz.de/10008660508
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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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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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Smart Beta investing : an alternative investment paradigm in emerging Indian equity market
Monga, Reema; Aggrawal, Deepti; Singh, Jagvinder - In: Organizations and markets in emerging economies 13 (2022) 1/25, pp. 209-237
This paper fundamentally looks at the novel concept of Smart Beta investing in constructing a more efficient and well-diversified alternative investment. Smart beta has been a popular investment philosophy, although emerging countries have been slower to adopt and execute it. In this way, the...
Persistent link: https://www.econbiz.de/10013279453
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Fixed Income Valuation in the Equity Market : Evidence from the Canadian Income Trust Sector
Glew, Ian - 2012
Investor response to changes in income trust payouts is measured through the implied cost of capital, an inverse valuation metric. Income trust securities are purchased primarily for the income stream: distributions from dividends, return of capital and interest, so adverse responses to...
Persistent link: https://www.econbiz.de/10013108217