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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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The risk and return conundrum explained : international evidence
Savva, Christos S.; Theodossiou, Panayiotis - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 486-521
Persistent link: https://www.econbiz.de/10011987799
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Country risk and expected returns across global equity markets
Zaremba, Adam - In: Finance a úvěr 68 (2018) 4, pp. 374-398
Persistent link: https://www.econbiz.de/10011919795
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Country-specific idiosyncratic risk and global equity index returns
Hueng, C. James; Yau, Ruey - In: International review of economics & finance : IREF 25 (2013), pp. 326-337
Persistent link: https://www.econbiz.de/10009693293
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International tail risk and world fear
Hollstein, Fabian; Nguyen, Duc Binh Benno; Prokopczuk, … - In: Journal of international money and finance 93 (2019), pp. 244-259
Persistent link: https://www.econbiz.de/10012138644
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International tail risk and world fear
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are …
Persistent link: https://www.econbiz.de/10011751251
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Fundamental sources of risk in frontier equity markets
Ouma, Wycliffe Nduga - In: African review of economics and finance : AREF : the … 15 (2023) 2, pp. 142-161
Persistent link: https://www.econbiz.de/10014637380
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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
apply the bootstrap method to evaluate the variability of their estimation method. The cost of capital they refer to is …
Persistent link: https://www.econbiz.de/10012183556
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The cost of equity capital in stock portfolios listed on the warsaw stock exchange using the classic CAPM
Urba´nski, Stanislaw - In: E-Finanse : finansowy kwartalnik internetowy 15 (2019) 2, pp. 48-62
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 assess the errors of cost of capital estimation, the bootstrap …
Persistent link: https://www.econbiz.de/10012104396
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Momentum has its moments
Barroso, Pedro; Santa-Clara, Pedro - In: Journal of financial economics 116 (2015) 1, pp. 111-120
Persistent link: https://www.econbiz.de/10011347950