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Autor
Zaremba Adam (Poznań University of Economics, Poland), Konieczka Przemysław (Warsaw School of Economics, Poland)
Tytuł
The Relations between Momentum, Value, Size, and Liquidity Factors and Stock Returns on the Polish Market
Źródło
Optimum : studia ekonomiczne, 2014, nr 5 (71), s. 188-197, tab., bibliogr. s. 194-197
Słowa kluczowe
Stopa zwrotu akcji, Rynek kapitałowy, Analiza portfelowa
Stock rate of returns, Capital market, Portfolio analysis
Uwagi
summ.
Firma/Organizacja
Giełda Papierów Wartościowych w Warszawie
Warsaw Stock Exchange
Abstrakt
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)
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Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Pełny tekst
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Bibliografia
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ISSN
1506-7637
Język
eng
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