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Testing the Maturity of the Polish Stock Market

Cwynar, Wiktor - 2013

risk assessment models to the Polish stock market, techniques like the CAPM are still inadequate for young, developing …

Persistent link: https://www.econbiz.de/10013094924

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

The Dynamics of Low-Frequency Liquidity Measures on the German and the Polish Stock Market

Bedowska-Sojka, Barbara - 2017

This paper examines the commonality in liquidity measures in two stock markets at different stage of development, the Deutsche Börse and the Warsaw Stock Exchange. Using daily data from 2001 to 2016 we show that since 2005 the aggregate liquidity measures from both markets behave similarly...

Persistent link: https://www.econbiz.de/10012942376

Size, Value and Liquidity : Do They Really Matter on an Emerging Stock Market?

Lischewski, Judith; Voronkova, Svitlana - 2010

The paper extends the evidence on the factors relevant for pricing stocks in emerging markets. While previous literature focused on Latin American and Asian developing markets, Central and Eastern European markets remain under-researched. By focusing on the Polish stock market, we aim to ll in a...

Persistent link: https://www.econbiz.de/10014190155

Test of the Chen-Roll-Ross macroeconomic factor model : evidence from Croatian stock market

Dolinar, Dolinar; Orsag, Silvije; Suman, Paola - In: UTMS journal of economics / University of Tourism and … 6 (2015) 2, pp. 185-196

This paper empirically examines the well-known Chen-Roll-Ross model on the Croatian stock market. Modifications of definitions of the Chen-Roll-Ross model variables showed as necessary because of doubtful availability and quality of input data needed. Namely, some macroeconomic and market...

Persistent link: https://www.econbiz.de/10011456296

The impact of FX exposure on the firm's stock market return

Bondarenko, Mariia; Brůna, Karel - In: European financial and accounting journal : EFAJ 16 (2021) 1, pp. 45-70

It is generally acknowledged that one of the risks faced by any company is FX risk, especially when the business operates internationally. For individual companies, exposure to FX risk results in different financial implications, stressing such parameters as the industry affiliation and the...

Persistent link: https://www.econbiz.de/10012642502

Determinant of Stock Systematic Risks

Pasaribu, Rowland Bismark - 2017

This study aims to analyze and test empirically the influence of corporate financial performance against systematic risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial performance did not significantly affect the systematic risk of the...

Persistent link: https://www.econbiz.de/10012942864

An Econometric Panel-Midas Model of Asset Returns in the Brazilian Stock Market

Moura Costa da Silva, Aline; de Medeiros, Otavio Ribeiro - 2018

The paper describes the specification, estimation, and testing of an unrestricted structural econometric model design … estimated using the MIDAS (Mixed Data Sampling) regression methodology, which supports estimation of regressions with variables …

Persistent link: https://www.econbiz.de/10014112120

Size and Value Premiums in the Indian Stock Market

Aziz, Tariq - 2015

The poor empirical record of the CAPM paved the way towards the development of multi-factor asset pricing models. The … market during the sample period. The three-factor model performs better than the CAPM, as the GRS test is unable to reject it …

Persistent link: https://www.econbiz.de/10013031649

The Intertemporal Relation between Expected Returns and Conditional Correlations between Precious Metals and the Stock Market

Sakemoto, Ryuta - 2018

This study explores whether conditional correlations between precious metals and stock markets impact upon expected returns on precious metals. The empirical evidence presents that there is no significant trade–off between conditional correlations and expected returns. This study reveals that...

Persistent link: https://www.econbiz.de/10012919487