Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia


ISSN: 2450-7741     eISSN: 2300-4460    OAI    DOI: 10.18276/frfu.2016.79-06
CC BY-SA   Open Access 

Issue archive / 1/2016 (79)
Indeksowanie fundamentalne na polskim rynku akcji
(Fundamental Indexation on the Polish Stock Market)

Authors: Tomasz Miziołek

Adam Zaremba
Keywords: Warsaw Stock Exchange WSE Polish stock market trading costs value investing fundamental indexation
Data publikacji całości:2016
Page range:14 (87-100)
Cited-by (Crossref) ?:

Abstract

Purpose – The aim of this paper is to present the concept of fundamental indexation and to test its applicability in the Polish market. Design/methodology/approach – We form portfolios weighted according to net profits, sales, book value, and dividends, and evaluate their performance with CAPM-based measures. The calculations are based on the performance of stocks in the Polish market within the years 2002–2015. Findings – Fundamentally indexed portfolios delivered higher risk-adjusted returns than a standard capitalization- weighted portfolio, but the differences were predominantly statistically insignificant. The abnormal performance remained positive after considering trading costs. Originality/value – It is the first study of the fundamental indexation in the Polish market.
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