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...

Literature Review -- Return Predictability and the Real Economy -- Study Design and Data -- Empirical Part I - Testing for Predictability -- Forecasting Models -- Empirical Part II - Investment Strategies -- Conclusion