 The impact of speculation on the pricing of companies listed on the Warsaw Stock Exchange in light of the ICAPMStanislaw Urbanski ()
Managerial Economics, 2015, vol. 16, issue 1, 91-111 Abstract: Research carried out over recent years shows that speculative stock are the reason for inconsistent pricing of stock with the classic CAPM. The present work is an attempt to explain the impact of speculative stock on pricing in light of the ICAPM. The study is conducted using stocks quoted on the Warsaw Stock Exchange (WSE) in 1995–2012. The systematic risk and risk prices components are simulated by two chosen multifactor applications, with different procedures of portfolio construction. The investigated stocks are classified into quaintile portfolios according to established procedures. It has been assumed that both speculative stocks and improper algorithm for the test portfolios sorting contribute to inconsistent stock pricing in light of the ICAPM. As a result, tests are carried out in three modes. All WSE stocks are analyzed in mode 1. In modes 2 and 3 speculative stocks are excluded from the study. The analysis indicate that the results are in line with the extended conjectures. Keywords: stock pricing; Fama and French model; speculative stocks; return changes (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:agh:journl:v:16:y:2015:i:1:p:91-111 Access Statistics for this article Managerial Economics is currently edited by Henryk Gurgul More articles in Managerial Economics from AGH University of Science and Technology, Faculty of Management Contact information at EDIRC. |
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