The four-factor asset pricing model on the Polish stock market

نویسندگان

  • Anna Czapkiewicz
  • Tomasz Wójtowicz
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

The Expansion of Capital Asset Pricing Factor Models through Pricing Value ، Momentum and stock quality at Tehran stock exchange

Considering the inverse relationship between the value and momentum factors and the lack of simultaneous use of them in capital asset pricing models as well as non-use of stock quality as representative of profitability ans investment factors such as CAPM and Fama and French's three-factor models, the basis of this study is to provide a new functional model has been replacing pricing models o...

متن کامل

The Integration of Multi-Factor Model of Capital Asset Pricing and Penalty Function for Stock Return Evaluation

One of the main concerns of investors is the evaluation of the return on investment, which is conducted using various models such as the CAPM (single-factor model), Fama-French three/five-factor models, and Roy and Shijin’s six-factor model and other models known as multi-factor models. Despite the widespread use of these models, their major drawbacks include sensitivity to unexpected changes, ...

متن کامل

Noise Trading Approach of Capital Asset Pricing at Tehran Stock Exchange

Noise traders as one of the key elements of the market play a significant role in determining the market volatilities, returns, and stock market mispricing. Hence, this study attempts to scrutinize the role of noise trading in capital asset pricing. Therefore, by using daily data, samples including 14105 data of 200 companies listed on stock exchange were selected and noise trading index was es...

متن کامل

asset pricing anomalies at the firm level

Anomaly is deviation from common rules and in finance it can be defined as a pattern in the average of stock return that is not consistent with the prevailing asset pricing models literature. For anomaly investigation two common methods are used: portfolio approach and individual firm approach. This paper wants to shed light on anomalies of capital asset pricing model at the individual firm lev...

متن کامل

Investigating the Interactive Effect of Corporate Governance and Corporate Social Responsibility on the Firm Value in the Tehran Stock Exchange

The purpose of this study is to investigate the effect of corporate governance (CG), corporate social responsibility (CSR) and their interactive effect on the value of companies listed on the Tehran Stock Exchange. For this purpose, the data of 194 companies listed on this stock exchange, which was selected using a systematic elimination method, from 2011-2017 were collected and analyzed using ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2014