A risk-based explanation of return patterns—Evidence from the Polish stock market

Antonina Waszczuk

Emerging Markets Review, 2013, vol. 15, issue C, 186-210

Abstract: Using both sorting and cross-sectional tests, this paper investigates the patterns in the average stock returns related to stock fundamentals, past return performance, idiosyncratic risk, and turnover in the Polish equity market for the period 2002–2011. To examine the persistence of the patterns, we apply the Monotonic Relation test of Patton and Timmermann (2010). The results favour the book-to-market ratio as a determinant of the cross-sectional variation of stock returns while momentum remains insignificant. The Fama and French (1993) three-factor model, which uses local size and value risk premiums adjusted for the skewed size distribution of the sample, captures most of the recognised anomalies. Further, we show that Polish domestic SMB and HML factors are not correlated with their U.S. and German counterparts.

Keywords: CAPM anomalies; Return patterns; Warsaw Stock Exchange; Three-factor model; Momentum; Local risk factors (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S156601411200074X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:15:y:2013:i:c:p:186-210

DOI: 10.1016/j.ememar.2012.12.002

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().