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- W2896748079 abstract "We evaluate and compare the performance of four popular factor pricing models: the capital asset pricing model, the Fama and French three-factor model, Carhart’s four-factor model, and the five-factor model of Fama and French. We aim to establish which of these models is most applicable in the Polish stock market. To do so, we employ a battery of tests—cross-sectional regressions, examination of one-way and two-way sorted portfolios, tests of monotonic relationships, and factor redundancy tests—and apply them to a sample of more than 1100 stocks for the years 2000–2018. The results indicate that the four-factor model outperforms the other models; it has the greatest explanatory ability for cross-sectional returns and is therefore well-suited for asset pricing in Poland." @default.
- W2896748079 created "2018-10-26" @default.
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- W2896748079 date "2018-10-15" @default.
- W2896748079 modified "2023-10-16" @default.
- W2896748079 title "An Application of Factor Pricing Models to the Polish Stock Market" @default.
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- W2896748079 doi "https://doi.org/10.1080/1540496x.2018.1517042" @default.
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