- Autor
- Grabowski Wojciech (University of Warsaw), Rotuski Konrad (Artal Investments)
- Tytuł
- Multifactor models of momentum portfolios on the Warsaw Stock Exchange, 1999-2009
- Źródło
- Ekonomia / Uniwersytet Warszawski, 2009, nr 22, s. 163-168, aneks, bibliogr. s. 166-167
- Słowa kluczowe
- Wieloczynnikowa analiza porównawcza, Metody portfelowe, Metoda momentów
Multivariate comparative analysis, Portfolio methods, Moment method - Uwagi
- summ.
- Abstrakt
- We have computed selected portfolio factor returns for the stocks listed on the WSE over the 1999-2009 period. There is a size premium on the WSE, while the size and sign of the value premium depends on the value factor used. Investors also seem to put a premium on corporate liquidity. Top momentum deciles as well as the momentum factor exhibit on average positive returns. Further, we tested a number of multifactor models of momentum portfolios. It appears that the SP factor based on the Sales/Price relative valuation of stocks has some power in explaining the momentum returns. Further testing of this and other factors introduced above, EP, CP and STI seems desirable. (original abstract)
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu - Pełny tekst
- Pokaż
- Bibliografia
-
- Chen J. and H. Hong, 2002, "Discussion of 'Momentum and autocorrelation in stock returns'", Review of Financial Studies No. 15, p. 565-573.
- Dittmar R.F., Kaul G., Lei Q., 2007, "Momentum is not an anomaly", Working paper, University of Michigan, available at SSRN.
- Du D., Watkins B., 2007, "When competing momentum hypotheses really do not compete: How the sources of momentum profits change through time", Journal of Economics and Business No. 59, p. 130-143.
- Fama E.F, French K.F., 1996, "Multifactor explanations of asset pricing anomalies", Journal of Finance No. 51, p. 55-84.
- Gibbons M.R., Ross S.A., Shanken J., 1989, "A test of the efficiency of a given portfolio", Econometrica No. 57, p. 1121-1152.
- Jegadeesh N., S. Titman. 2001. Profitability of momentum strategies: an evaluation of possible explanations, Journal of Finance 56, 699-720.
- Lewellen J., 2002, "Momentum and autocorrelation in stock returns", Review of Financial Studies No. 15, p. 533-563.
- van der Hart J., Slagter E., van Dijk D., 2003, "Stock selection strategies in emerging markets", Journal of Empirical Finance No. 10, p. 105-132.
- van der Hart J., de Zwart G., van Dijk D., 2005, "The success of stock selection strategies in emerging markets: is it risk or behavioral bias?", Emerging Markets Review No. 6, p. 238-262.
- Cytowane przez
- ISSN
- 0137-3056
- Język
- pol
