A Six-Factor Extension of The Fama-French Asset Pricing Model - The Case of The Polish Stock Market

• Autorzy: Bálint Zsolt Nagy , Tünde Dezméri
• Języki publikacji: EN

Abstrakty

EN

Multifactor asset pricing models evolved at an accelerated pace in the past few years after the publication of the Fama and French five-factor model. Despite the results from developed markets which arguably make the sixth momentum factor redundant, the authors showed in this study that in an emerging market, e.g. the Warsaw Stock Exchange, the momentum factor (persistence of returns) is still a major asset pricing factor. The data covers the period 2010-2018 on a monthly granularity, during which the Polish stock market was still considered 'emerging'.(original abstract)

Słowa kluczowe

PL

Giełda; Warszawski Indeks Giełdowy (WIG); Strategie momentum

EN

Stock exchange; Warsaw Stock Exchange Index; Momentum strategies

• Czasopismo: Argumenta Oeconomica
• Rocznik: 2022
• Numer: nr 2 (49)
• Strony: 5-22

Twórcy

autor

Bálint Zsolt Nagy

• Babes-Bolyai University, Cluj-Napoca, Romania

autor

Tünde Dezméri

• Wolters Kluwer Financial Services, Cluj-Napoca, Romania

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Identyfikatory

DOI

10.15611/aoe.2022.2.01