Finanse, Rynki Finansowe, Ubezpieczenia

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


ISSN: 2450-7741     eISSN: 2300-4460    OAI    DOI: 10.18276/frfu.2016.4.82/2-05
CC BY-SA   Open Access 

Issue archive / 4/2016
Wykorzystanie pięcioczynnikowego modelu Famy-Frencha na polskim rynku kapitałowym
(Performance of the Fama-French Five Factor Model – the Case of the Polish Capital Market)

Authors: Leszek Czapiewski
Keywords: Fama-French five-factor model Fama-French three factor model multi-factor pricing models Polish capital market
Data publikacji całości:2016
Page range:13 (71-83)
Cited-by (Crossref) ?:

Abstract

Purpose – The study examines the performance and usefulness of the Fama-French five-factor model in explaining stock returns. The model was directed at capturing the size, value, profitability, and investment patterns in stock returns. Design/methodology/approach – The two-stage Fama-MacBeth procedure was applied in the empirical research. Sixteen portfolios (4 × 4) were formed for size and book-to-market, size and profitability, size and investment. The GRS statistic of Gibbons, Ross, and Shanken was used to test the model. Findings – The study covers the companies listed on the Warsaw Stock Exchange in Poland during 2000– 2014. The tests did not prove the significance of statistics for intercepts. Originality/value – The study discusses the empirical results for the Fama-French five-factor model for the Polish capital market
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