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Grabowski Wojciech (University of Warsaw), Rotuski Konrad (University of Warsaw), Skrzypczak Krzysztof (University of Warsaw)
Four-Factor Models of Technical Portfolio Returns on the Warsaw Stock Exchange, 1999-2009
Ekonomia / Uniwersytet Warszawski, 2011, nr 27, s. 189-196, tab., bibliogr s. 196.
Stopa zwrotu akcji, Metody portfelowe, Giełda papierów wartościowych
Stock rate of returns, Portfolio methods, Stock market
Giełda Papierów Wartościowych w Warszawie
Warsaw Stock Exchange
In our earlier paper [Grabowski et al., 2011] we initiated the investigation of the returns of the technical portfolios and factors on an emerging market, the Warsaw Stock Exchange (WSE). We examined five technical factors formed using Fama and French methodology as well as the returns on portfolios of stocks formed using technical indicators with the standard four-factor model. The main results obtained were the following: the factors and over-sold portfolios exhibited negative relationship with the momentum factor; both oversold and overbought portfolios were positively related to the returns of the SMB and market factors. We hypothesized that factor construction based on more frequent rebalancing could help analyze the nature of technical portfolios. Below we present some results of such research. (fragment of text)
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  1. Fama E.F, French K.F., 1996, Multifactor explanations of asset pricing anomalies, "Journal of Finance", 51, 55-84
  2. Grabowski W., Rotuski K., Skrzypczak K., 2011, An analysis of technical factor returns on the Warsaw Stock Exchange, 1999-2009. "Ekonomia" 26, in press.
  3. Jegadeesh N., Titman S., 2001, 'rofitability of momentum strategies: an evaluation of possible explanations, "Journal of Finance", 56, 699-720.
  4. Pring M.J., 1991, Technical analysis explained, 3 rd ed. McGraw-Hill.
  5. Sharpe W., 1992, Asset allocation: management style and performance measurement, "Journal of Portfolio Management", Winter 1992, 18 (2), 7-19.
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