Wykorzystanie pięcioczynnikowego modelu Famy-Frencha na polskim rynku kapitałowym
Performance of the Fama-French Five Factor Model – the Case of the Polish Capital Market

Summary/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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