Monotoniczność premii za ryzyko inwestycji w spółki notowane na NewConnect w oparciu o trójczynnikowy model Famy-Frencha
Monotonicity Risk Premium for Investment on Newconnect Based on Fama-French’s Model

Summary/Abstract: Purpose – The aim of the thesis is an attempt to verify whether despite differences between the regulated market and NewConnect, the effect of monotonicity can also occur on the alternative market of shares trading. Design/methodology/approach – To verify the thesis was estimated parameters of the model FF and used the stability tests of its parameters. For this purpose examined 12 test portfolios with a different value of the capitalization of the companies (from large to small companies) and different values of the factor balance BV/ BM (from high values to low values). Findings – The results seem to confirm possibility of occurrence of the effect of monotonicity value also in relation to the NewConnect market.

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