Źródła ryzyka systematycznego w kalkulacji kosztu kapitału w warunkach polskich
Sources of systematic risk in estimation of cost of capital - evidence from the Polish market

Summary/Abstract: Contemporary financial literature raises serious doubts on the notion that a market risk is the only systematic factor determining a cost of equity. Company’s size, book-to-market-value or momentum are just the examples among the best documented “alternative” common risk factors. The aim of this article is to define crucial common risk factors which determine the returns for the Polish equity market. The article consists of two parts. The first part comprises a review of well documented systematic risk factors in financial literature. It is followed by empirical analysis of risk factors determining the stock market returns for the Polish market. The research encompasses a multidimensional regression analysis of all the public companies listed on Warsaw Stock Exchange for the years 1997-2008.

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