ZASTOSOWANIE TRÓJCZYNNIKOWEGO MODELU FAMY2 FRENCHA I CAPM DLA WYBRANYCH SPÓŁEK NOTOWANYCH NA GPW W WARSZAWIE W LATACH 2007-2017
APPLICATION OF FAMA-FRENCH THREE-FACTOR MODEL AND CAPM TO SELECTED COMPANIES LISTED ON WSE IN YEARS 2007-2017
Author(s): Dorota WitkowskaSubject(s): Business Economy / Management, International relations/trade, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: capital asset pricing model (CAPM); Fama-French three-factor model; Polish capital market;
Summary/Abstract: Presented research aims in evaluation if three-factor model better describes rates of return than single-factor capital asset pricing model. Investigation concerns 30 selected companies listed on WSE in years 2007 ‒ 2017. The whole period of analysis is divided into seven samples according to observed market tendency in Poland. Research is conducted for daily rates of return whereas comparative analysis is provided for portfolios constructed from companies belonging to stock indexes WIG20, mWIG40 and sWIG80.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XX/2019
- Issue No: 2
- Page Range: 116-127
- Page Count: 12
- Language: Polish