Temat: Cross-section of returns - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: The Relations Between Momentum, Value Size, And Liquidity Factors And Stock Returns On The Polish Market
Autorzy:: Zaremba, Adam
Konieczka, Przemysław
Powiązania:: https://bibliotekanauki.pl/articles/955318.pdf
Data publikacji:: 2014
Wydawca:: Uniwersytet w Białymstoku. Wydawnictwo Uniwersytetu w Białymstoku
Tematy:: value
size
momentum
cross-section of stock returns
Polish market
Warsaw Stock Exchange
Opis:: The paper examines the relations between selected company characteristics and common stock returns. In the paper, we concentrate on four well-recognized fundamental factors determining stock returns: momentum, value, size and liquidity. First, we review the existing literature in the field. Second, we investigate the relationship between fundamental factors and stock returns on the Polish market. Our computations are based on all companies on the Warsaw Stock Exchange listed in the period 2000-12. Our research provides fresh out-of-sample evidence for momentum, value, size and liquidity premium from the Polish market.
Źródło:: Optimum. Economic Studies; 2014, 5(71); 188-197
1506-7637
Pojawia się w:: Optimum. Economic Studies
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: Country selection strategies for portfolio management
Autorzy:: Zaremba, Adam
Konieczka, Przemysław
Powiązania:: https://bibliotekanauki.pl/articles/950658.pdf
Data publikacji:: 2015
Wydawca:: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:: value effect
size effect
momentum
volatility effect
anomaly of low risk
inter-market effects
cross-section analysis of returns
factor returns
international diversification
asset pricing
Opis:: This study examines 16 country selection strategies based on inter-market value, size, momentum, quality and volatility effects. We investigate a sample of 78 countries for the period 1999-2014. Having considered country-specific dividend tax rates, market liquidity and openness for investment flows we can state that chosen strategy based on earnings to price ratio proves useful for investors. Momentum strategies should be approached with caution, as they appear effective only in small markets and may lead to loses in large markets. Selecting low leveraged and illiquid countries also proves beneficial. The relation between volatility displays different characteristics for open and closed economies.
Źródło:: Financial Sciences. Nauki o Finansach; 2015, 1(22); 101-119
2080-5993
2449-9811
Pojawia się w:: Financial Sciences. Nauki o Finansach
Dostawca treści:: Biblioteka Nauki

Artykuł

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