BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Urbański Stanisław (AGH University of Science and Technology, Poland)
Tytuł
Comparison of a Modified and Classic Fama-French Model for the Polish Market
Źródło
Folia Oeconomica Stetinensia, 2017, vol. 17, iss. 1, s. 80-96, rys., tab., bibliogr. 24 poz.
Słowa kluczowe
Ocena ryzyka, Model Famy i Frencha, Rynek kapitałowy, Zarządzanie portfelem inwestycyjnym
Risk assessment, Fama-French model, Capital market, Management of investment portfolio
Uwagi
Klasyfikacja JEL: G11, G12
summ.
Abstrakt
This paper shows a comparison of the results of return, risk, and risk price simulation by a modified and classic Fama-French model. The modified model defines the new ICAPM state variable as a function of the structure of a company's past financial results. The model tests are run on the basis of stocks listed on the Warsaw Stock Exchange. In light of the classic model the risk price, on the tested market, turned out univariate due to HML, however, in light of the modified model, risk price turned out to be threedimensional due to the proposed factors, and market portfolio. The factors of the modified model, compared with the HML and SMB, are widely perceived by portfolio managers, and the simulation results indicate a greater possibility to use this pricing application by large institutional investors.(original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Balvers, R.J. (2001). Foundations of Asset Pricing. West Virginia University.
  2. Carhart, M.M. (1995). Survivor bias and persistence in mutual fund performance. Thesis (Ph.D.), Graduate School of Business, University of Chicago.
  3. Cochrane, J. (2001). Asset Pricing. New Jersey: Princeton University Press.
  4. Czapkiewicz, A., Wójtowicz, T. (2014). The four-factor asset pricing model on the Polish stock market. Economic Research-Ekonomska Istraživanja, 27 (1), 771-783. DOI: 10.1080/1331677X.2014.975518. [Crossref]
  5. Fama, E.F., French, K.R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, 47 (2), 427-465. DOI: 10.1111/j.1540-6261.1992.tb04398.x. [Crossref]
  6. Fama, E.F., French, K.R. (1993). Common Risk Factors in the Returns on Stock and Bonds. Journal of Financial Economics, 33 (1), 3-56. DOI: 10.1016/0304-405X(93)90023-5. [Crossref]
  7. Fama, E.F., French, K.R. (1995). Size and Book-to-Market Factors in Earnings and Returns. Journal of Finance, 50 (1), 131-155. DOI: 10.1111/j.1540-6261.1995.tb05169.x. [Crossref]
  8. Fama, E.F., French, K.R. (1996). Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51 (1), 55-84. DOI: 10.1111/j.1540-6261.1996.tb05202.x. [Crossref]
  9. Gibbons, M.R., Ross, S.A., Shanken, J. (1989). A Test of the Efficiency of a Given Portfolio. Econometrica, 57 (5), 1121-1152. [Crossref]
  10. Kowerski, M. (2008). Trójczynnikowy model Famy i Frencha dla Giełdy Papierów Wartościowych w Warszawie. Przegląd Statystyczny, 55 (4), 131-148.
  11. Lettau, M., Ludvigson, S. (2001). Resurrecting the (C) CAPM: A Cross -Sectional Test when Risk Premia Are Time-Varying. Journal of Political Economy, 109 (6), 1238-1287. [Crossref]
  12. Lakonishok, J., Shapiro, A.C. (1986). Systematic Risk, Total Risk, and Size as Determinants of Stock Market Returns. Journal of Banking and Finance, 10 (1), 115-132.
  13. Merton, R.C. (1973). An Intertemporal Capital Asset Pricing Model. Econometrica, 41 (5), 867-888. [Crossref]
  14. Petkova, R. (2006). Do the Fama-French Factors Proxy for Innovations in Predictive Variables? Journal of Finance, 61 (2), 581-612. DOI: 10.1111/j.1540-6261.2006.00849.x. [Crossref]
  15. Reinganum, M.R. (1981). A New Empirical Perspective on the CAPM. Journal of Financial and Quantitative Analysis, 16 (4), 439-462. [Crossref]
  16. Rosenberg, B., Reid, K., Lanstein R. (1985). Persuasive Evidence of Market Inefficiency. Journal of Portfolio Management, 11 (3), 9-16. [Crossref]
  17. Ross, S.A. (1976). The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory. 13 (3), 341-360. [Crossref]
  18. Stattman, D. (1980). Book Values and Stock Returns, The Chicago MBA. A Journal of Selected Papers, 4, 25-45.
  19. Shanken, J. (1985). Multivariate Tests of the Zero-Beta CAPM. Journal of Financial Economics, 14, 327-348. [Crossref]
  20. Shanken, J. (1992). On the Estimation of Beta-Pricing Models. The Review of Financial Studies, 5 (1), 1-33. [Crossref]
  21. Urbański, S. (2011). Modelowanie równowagi na rynku kapitałowym - weryfikacja empiryczna na przykładzie akcji notowanych na Giełdzie Papierów Wartościowych w Warszawie. Katowice: Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach.
  22. Urbański, S. (2012). Multifactor Explanations of Returns on the Warsaw Stock Exchange in Light of the ICAPM. Economic Systems, 36 (4), 552-570.
  23. Yogo, M. (2006). A Consumption-Based Explanation of Expected Stock Returns. Journal of Finance, 61 (2), 539-580. [Crossref]
  24. Zarzecki, D., Byrka-Kita, K., Wiśniewski, T., Kisielewska, M. (2004-2005). Test of the Capital Asset Pricing Model: Polish and Developed Markets Experiences. Folia Oeconomica Statitiensa, 11-12 (3-4), 63-84.
Cytowane przez
Pokaż
ISSN
1730-4237
Język
eng
URI / DOI
http://dx.doi.org/10.1515/foli-2017-0007
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu