Prognozowalność długookreosowych stóp zwrotu na polskim rynku akcji
Long-horizon Stock Return Predictability in Poland

Summary/Abstract: The article discusses the ability of market valuation ratios and the ratios of share prices to GDP to predict future stock returns on the Polish capital market. Although some controversy remains, stock return predictability in the United States and other industrialized countries appears quite well established. The results of an investigation for two broad market indices: WIG and MSCI Poland over the period January 1995 – December 2019 and a broad set of valuation ratios show that such ratios as price to sales, price to book value, price to EBITDA, price to earnings averaged over past ten years and price to forecasted earnings have strong predictive power for mainly long-horizon cumulative returns. Also the ratio of index levels to GDP tracks a large fraction of the variation over time in future returns on the aggregate stock market. On the other side, divided yield and price to earnings proves to be quite poor predictors. Heteroskedasticity and autocorrelation consistent estimators were used to track the problem of overlapping data in regressions.

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