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...

This paper provides a comprehensive analysis on stock return predictability in Santiago Stock Exchange from January 2007 to January 2016 by employing portfolio method. In the risk-related predictors, we found no statistically significant predictive power of beta, total volatility, and...

Ability to estimate an individual security returns is very important and needed by investors. Therefore the presence of Capital Asset Pricing Model (CAPM) which can be used to estimate the return of a security is considered very important in the field of finance. However, Fama and French showed...

The purpose of the article is to analyse the impact of various financial ratios used to evaluate a company’s liquidity and solvency on the rates of return on the shares of companies listed on the Warsaw Stock Exchange. In the context of developing countries, the relationship between liquidity...

This work is an attempt to estimate the cost of equity capital characteristic among portfolios of companies listed on the Warsaw Stock Exchange in the years 1995-2017. To this end, the classic CAPM is used to estimate the cost of risk. Model tests are based on 252 monthly returns. In order to...

This paper explores possibilities of using rolling regression CAPM on the Zagreb Stock Exchange in portfolio and risk management. Since original model has many flaws, one of them including the assumption of constant parameters in the model, extending the model with the assumption of changing...

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...

Recently, the investor overreaction catches the attention of the academicians and practitioners. The topic comes under the limelight of academicians and policymakers. This study, therefore, addresses investor overreaction and its relationship with the global financial crisis for the period of...