Empiryczny test strategii fundamentalnej
Empirical test of fundamental strategy

Summary/Abstract: This paper presents empirical tests of the relation between fundamental ratios (ROE, EBIT growth ratio, earning growth ratio, P/E) and average return on the Warsaw Stock Exchange. The analysis examines a simple fundamental strategy. The tests support hypothesis that when portfolios are formed on the historical fundamental ratios, we observe higher average stock returns. Portfolio of high fundamental ratio outperforms the WIG index (especially portfolios formed on the basis of ROE), but susceptible to random factors.

• Details
• Contents