Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/147132
Authors: 
Zaremba, Adam
Konieczka, Przemysław
Year of Publication: 
2015
Citation: 
[Journal:] e-Finanse: Financial Internet Quarterly [ISSN:] 1734-039X [Volume:] 11 [Year:] 2015 [Issue:] 3 [Pages:] 58-69
Abstract: 
In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyzemthe interdependences among the factors. Third, we investigate whether the factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are robust to transaction costs. Our research is based on all the stocks listed on the WSE in years 2001-2013. We find, that the value, momentum, and size premiums are to some extent present on the Polish market. Furthermore, they strengthen each other, but they disappear after accounting for transaction costs and liquidity.
Subjects: 
value premium
size premium
momentum effect
cross-section of stock returns
liquidity
transaction costs
Warsaw Stock Exchange
WSE
Polish stock market
JEL: 
G11
G12
G14
Persistent Identifier of the first edition: 
Document Type: 
Article

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