- Tytuł:
- Selected Approaches for Testing Asset Pricing Models Using Polish Stock Market Data
- Autorzy:
-
Czapkiewicz, A.
Skalna, I. - Powiązania:
- https://bibliotekanauki.pl/articles/375965.pdf
- Data publikacji:
- 2014
- Wydawca:
- Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
- Tematy:
-
Fama-French three-factor model
systematic risk
risk premium
Warsaw Stock Exchange
small sample problem - Opis:
- The main objective of this paper is to discuss alternative methods for testing the Fama-French (FF) three-factor asset pricing model. The properties of the selected methods are compared through a simulation study. The main stress is put on the behaviour of the selected methods for small samples. The parameters used in the simulation study are obtained on the basis of real data coming from the Polish stock market (Warsaw Stock Exchange). Different sample characteristics such as homoscedasticity, conditional heteroscedasticity and autocorrelation as well as heteroscedasticity are tested.
- Źródło:
-
Decision Making in Manufacturing and Services; 2014, 8, 1-2; 25-38
1896-8325
2300-7087 - Pojawia się w:
- Decision Making in Manufacturing and Services
- Dostawca treści:
- Biblioteka Nauki
Artykuł