BazEkon - The Main Library of the Cracow University of Economics

BazEkon home page

Main menu

Zaremba Adam (Poznań University of Economics, Poland), Konieczka Przemysław (Warsaw School of Economics, Poland)
The Relations between Momentum, Value, Size, and Liquidity Factors and Stock Returns on the Polish Market
Optimum : studia ekonomiczne, 2014, nr 5 (71), s. 188-197, tab., bibliogr. s. 194-197
Stopa zwrotu akcji, Analiza portfelowa, Rynek kapitałowy
Stock rate of returns, Portfolio analysis, Capital market
Giełda Papierów Wartościowych w Warszawie
Warsaw Stock Exchange
The paper examines the relations between selected company characteristics and common stock returns. In the paper, we concentrate on four well-recognized fundamental factors determining stock returns: momentum, value, size and liquidity. First, we review the existing literature in the field. Second, we investigate the relationship between fundamental factors and stock returns on the Polish market. Our computations are based on all companies on the Warsaw Stock Exchange listed in the period 2000-12. Our research provides fresh out-of-sample evidence for momentum, value, size and liquidity premium from the Polish market. (original abstract)
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
Full text
  1. Amihud Y., Mendelson H. 1986 Asset Pricing and the Bid-Ask Spread, "Journal of Financial Economics" 17, pp. 223- 249,
  2. Amihud Y., Mendelson H., Lauterbach B. 1997 Market Microstructure and securities values: Evidence from the Tel Aviv Stock Exchange, "Journal of Financial Economics 45", pp. 365-390,
  3. Asness C.S. 1994 Variables that Explain Stock Returns, Ph.D. Dissertation, University of Chicago.
  4. Asness C. S., Moskowitz T. J., Pedersen L. H. 2013 Value and Momentum Everywhere, "Journal of Finance", Volume 68, Issue 3, pp. 929-985, jofi.12021.
  5. Banz R.W. 1981 The Relation between Return and Market Value of Common Stocks, "Journal of Financial Economics", vol. 9, pp. 3-18, 90018-0.
  6. Blume M., Stambaugh R. 1983 Biases in Computed Returns: An Application to the Size Effect, "Journal of Financial Economics", Vol. 12, pp. 387-404, 0304-405x(83)90056-9.
  7. Borys M., Zemcik P. 2011 Size and Value Effects in Visegrad Countries, "Emerging Markets Finance and Trade", 47, pp. 50-68, 303.
  8. Brennan M.J., Chordia T., Subrahmanyam A. 1998 Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns, "Journal of Financial Economics 49", pp. 345-373.
  9. Brennan M.J., Subrahmanyam A. 1996 Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns, "Journal of Financial Economics 44", pp. 441-464,
  10. Brown P., Keim D.B, Kleidon A.W, Marsh T.A 1983 Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence, "Journal of Financial Economics", 12, pp. 105-28, (83)90030-2.
  11. Cambell J.Y., Lo A.W., MacKinlay A.C. 1997 The Econometrics of Financial Markets, Princeton University Press, Princeton, New Jersey, USA.
  12. Capaul C., Rowley I., Sharpe W. 1993 International Value and Growth Stock Returns, "Financial Analysts Journal", Vol. 49, pp. 27-36, n1.27.
  13. Carhart M.M. 1997 On Persistence in Mutual Fund Performance, "The Journal of Finance 52", pp. 57-82.
  14. Chalmers J.M.R., Kadlec G.B. 1998 An Empirical Examination of the Amortized Spread, "Journal of Financial Economics 48", pp. 159-188, s0304-405x(98)00007-5.
  15. Chan H., Fa R. 2005 Asset Pricing and the Illiquidity Premium, "The Financial Review 40", pp. 429-458,
  16. Chan L.K.C, Hamao Y., Lakonishok. J. 1991 Fundamentals and Stock Returns in Japan, "Journal of Finance 46", pp. 1739-1764,
  17. Chordia T., Roll R., Subrahmanyam A. 2001 Market Liquidity and Trading Activity, "Journal of Finance 55", pp. 501-530,
  18. Chui A.C.W., Titman S., Wei K.C.J. 2010 Individualism and Momentum Around the World, "Journal of Finance 65", pp. 361-392, 01532.x.
  19. Cochrane J.C. 2005 Asset Pricing., Princeton University Press, Princeton, New Jersey.
  20. Cook T.J., Roseff M. 1982 Size Dividend Yield and Co-Skewness Effects on Stock Returns: Some Empirical Tests, University of Iowa, Iowa City, Working Paper Series 18, 82-20.
  21. Czapkiewicz A., Skalna I. 2010 The CAPM and Fama-French Models in Poland, "Przegląd Statystyczny", 57 [4], pp. 128-141.
  22. Datar V.T., Naranyan Y.N., Radclie R. 1998 Liquidity and Stock Returns: An Alternative Test. "Journal of Financial Markets 1", pp. 203-219, s1386-4181(97)00004-9.
  23. Davis L.J. 1994 The Cross-Section of Realized Stock Returns: The Pre-COMPUSTAT Evidence, "Journal of Finance 49", pp. 1579-1593, 2329263.
  24. De Bondt W., Thaler R. 1985 Does the Stock Market Overreact?, "The Journal of Finance", 40 [3], pp. 793-805,
  25. Dimson E., Marsh P., Stuanton M., 2011, Investment Style: Size, Value and Momentum, [in:] Credit Suisse Global Investment Returns Sourcebook 2011, Credit Suisse Research Institute, Zurich, pp. 41 -54.
  26. Fama E.F., French K.R. 2012 Size, Value, and Momentum in International Stock Returns; "Journal of Financial Economics", 105[3], pp. 457-72, 10.1016/j.jfineco.2012.05.011.
  27. Fama E.F., French K.R. 2008 Dissecting Anomalies, "Journal of Finance 63" [4], pp. 16531678,
  28. Fama E.F., French K.R. 1998 Value versus Growth: The International Evidence, "Journal of Finance 53", pp. 1975-1999,
  29. Fama E.F., French K.R. 1993 Common Risk Factors in the Returns on Stocks and Bonds, "Journal of Financial Economics 33", pp. 3-56, 5.
  30. Garleanu N. 2009 Portfolio Choice and Pricing in Illiquid Markets, "Journal of Economic Theory" 144, pp. 532- 564,
  31. Gharghori P., Lee R., Veeraraghavan M. 2009 Anomalies and Stock Returns: Australian Evidence, "Accounting & Finance", Volume 49, Issue 3, pp. 555-576, 10.1111/j.1467-629x.2009.00298.x.
  32. Griffin J.M., Ji X., Martin J.S. 2003 Momentum Investing and Business Cycle risk: Evidence from Pole to Pole, "Journal of Finance", 58, pp. 2515-2547, ssrn.291225.
  33. Grinblatt M., Moskowitz T.J. 2004 Predicting Stock Price Movements from Past Returns: The Role of Consistency and Tax-Loss Selling, " Journal of Financial Economics", vol. 71, pp. 541-579,
  34. Groot W. de, Pang J., Swinkels L. 2012 The Cross-Section of Stock Returns in Frontier Emerging Markets, "Journal of Empirical Finance", 19 [5], pp. 796-818, 10.1016/j.jempfin.2012.08.007.
  35. Haugen R. A., Baker N. L. 1996 Commonality in the Determinants of Expected Stock Returns. "Journal of Financial Economics 41", 401-439,
  36. Herrera M. J., Lockwood L.J. 1994 The Size Effect in the Mexican Stock Market, "Journal of Banking and Finance 18", pp. 621 - 632, 00010-m.
  37. Heston S.L., Rouwenhorst K.G., Weessels R.E. 1999 The Role of Beta and Size in the Cross-Section of European Stock Returns, "European Financial Management 5", pp. 9-27,
  38. Horowitz J.L., Loughran T., Savin N. E. 2000 The Disappearing Size Effect, "Research in Economics 54[1]" , pp. 83-100,
  39. Hu A.-Y. 1997 Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange. SSRN Working paper, 10.2139/ssrn.15133.
  40. Jegadeesh N. Titman S. 2001 Profitability of Momentum Strategies: An Evaluation of Alternative Explanations, "The Journal of Finance ", Volume 56, Issue 2, pp. 699-720,
  41. Jegadeesh N., Titman S. 1993 Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, "The Journal of Finance", vol. 48, no. 1, pp. 65-91, 10.2307/2328882.
  42. Kowerski M. 2006 Efekt wartości księgowej do rynkowej na Giełdzie Papierów Wartościowych w Warszawie, "Finansowy Kwartalnik Internetowy e-Finanse", 1/2006, http://www.e-
  43. Kowerski M., 2008, The Fama and French Tree-Factor Model for Warsaw Stock Exchange (Trójczynnikowy model Famy i Frencha dla Giełdy Papierów Wartościowych w Warszawie), "Przegląd Statystyczny", 55 [4], pp. 131-148.
  44. Lam K.S.K. 2002 The Relationship between Size, Book-to-Market Equity Ratio, Earnings-Price Ratio, and Return for the Hong Kong Stock Market, "Global Finance Journal", 13 [2], pp. 163-179,
  45. Liew J., and Vassalou M. 2000 Can Book-to-Market, Size and Momentum Be Risk Factors that Predict Economic Growth?, "Journal of Financial Economics", vol. 57, no. 2, pp. 221245,
  46. Lintner J. 1965 The Valuation of Risk Assets and The Selection of Risky Investments in Stock Portfolios and Capital Budget, "Review of Economics and Statistics 47", pp. 13-37,
  47. Lischewski J., Voronkova S. 2012 Size, Value and Liquidity. Do they Really Matter on an Emerging Stock Market? "Emerging Markets Review", 13, pp. 8-25, 10.1016/j.ememar.2011.09.002.
  48. Michou, M., Mouselli, S., Stark, A. 2010 Fundamental Analysis and the Modelling of Normal Returns in the UK, Working paper available at SSRN, ssrn.1607759.
  49. Novy-Marx R. 2014 The Other Side of Value: The Gross Profitability Premium, "Journal of Financial Economics", 108 [1], pp. 1-28, 01.003.
  50. Reinganum M.R. 1981 Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earning' Yield and Market Values, "Journal of Financial Economics", 9 [1], pp. 19-46,
  51. Rosenberg B., Reid K., Lanstein. R. 1985 Persuasive Evidence of Market Inefficiency, "Journal of Portfolio Management 11", pp. 9-17, jpm.1985.409007.
  52. Rouwenhorst K.G. 1999 Local Returns Factors and Turnover in Emerging Stock Markets, "Journal of Finance 54", pp. 1439-1464,
  53. Rouwenhorst K.G. 1998 International Momentum Strategies, "Journal of Finance 53", pp. 267284,
  54. Shafana M., Fathima Rimziya A., Inun J.A. 2013 Relationship between Stock Returns and Firm Size, and Book-To Market Equity: Empirical Evidence from Selected Companies Listed on Milanka Price Index in Colombo Stock Exchange, "Journal of Emerging Trends in Economics and Management Sciences 4" [2], pp. 217-225.
  55. Sharpe W.F. 1964 Capital Asset Pricing: A Theory of Market Equilibrium under Conditions of Risk, "Journal of Finance 19", pp. 425-441,
  56. Stattman D. 1980 Book Values and Stock Returns, "The Chicago MBA: A Journal of Selected Papers", 4, pp. 25-45.
  57. Waszczuk A. 2013 A Risk-Based Explanation of Return Patterns - Evidence from the Polish Stock Market, "Emerging Markets Review", 15, pp. 186-210, 10.1016/j.ememar.2012.12.002.
  58. Zaremba A., Konieczka P. 2014 Factor Returns in the Polish Equity Market, "Procedia - Social and Behavioral Science", 110, pp. 1073-1081, j.sbspro.2013.12.954.
  59. Żarnowski J. 2007 Próba ustalenia przydatności zmiennych fundamentalnych do konstrukcji wielowskaźnikowego modelu rynku w  warunkach polskich. Conference Proceedings Chair of Financial Markets Jagielonski University Cracow. ~fkrk/pliki/jz.pdf.
Cited by
Share on Facebook Share on Twitter Share on Google+ Share on Pinterest Share on LinkedIn Wyślij znajomemu