Problems Related to the Capital Assets Pricing Model on the Warsaw Stock Exchange: Applications of the 5-Factor Fama and French Model
This paper represents an attempt at empirically assessing the applicability of the Fama and French five-factor model in explaining the cross-sectional variation of stock return for the Polish market. Consistent with Fama and French results, this research shows that value, profitability and investmen...
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| Language: | English |
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University of Warsaw
2022-01-01
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| Series: | Studia i Materiały |
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| Online Access: | https://press.wz.uw.edu.pl/sim/vol2022/iss1/1/ |
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| author | Michał Gnap |
| author_facet | Michał Gnap |
| author_sort | Michał Gnap |
| collection | DOAJ |
| description | This paper represents an attempt at empirically assessing the applicability of the Fama and French five-factor model in explaining the cross-sectional variation of stock return for the Polish market. Consistent with Fama and French results, this research shows that value, profitability and investment risk factors play an important role in assessing the expected return of an asset. Many researchers have since sought to identify alternative asset pricing models that could serve as the benchmark empirical asset-pricing model. It is hoped that the analysis conducted in this paper tests whether the revised five-factor model that incorporates the profitability and investment factors can address some of the issues of the three-factor model and could be incorporated in explaining the cross-section of stock returns for Poland |
| format | Article |
| id | doaj-art-ed526d75ff5247209ac5d6eb1aa20ff2 |
| institution | OA Journals |
| issn | 1733-9758 |
| language | English |
| publishDate | 2022-01-01 |
| publisher | University of Warsaw |
| record_format | Article |
| series | Studia i Materiały |
| spelling | doaj-art-ed526d75ff5247209ac5d6eb1aa20ff22025-08-20T02:05:20ZengUniversity of WarsawStudia i Materiały1733-97582022-01-012022141410.7172/1733-9758.2022.36.1Problems Related to the Capital Assets Pricing Model on the Warsaw Stock Exchange: Applications of the 5-Factor Fama and French ModelMichał Gnap0https://orcid.org/0000-0002-3419-032XDeloitte Audyt Spółka z o.o., PolskaThis paper represents an attempt at empirically assessing the applicability of the Fama and French five-factor model in explaining the cross-sectional variation of stock return for the Polish market. Consistent with Fama and French results, this research shows that value, profitability and investment risk factors play an important role in assessing the expected return of an asset. Many researchers have since sought to identify alternative asset pricing models that could serve as the benchmark empirical asset-pricing model. It is hoped that the analysis conducted in this paper tests whether the revised five-factor model that incorporates the profitability and investment factors can address some of the issues of the three-factor model and could be incorporated in explaining the cross-section of stock returns for Polandhttps://press.wz.uw.edu.pl/sim/vol2022/iss1/1/fama-french factorsasset pricingwarsaw stock exchange |
| spellingShingle | Michał Gnap Problems Related to the Capital Assets Pricing Model on the Warsaw Stock Exchange: Applications of the 5-Factor Fama and French Model Studia i Materiały fama-french factors asset pricing warsaw stock exchange |
| title | Problems Related to the Capital Assets Pricing Model on the Warsaw Stock Exchange: Applications of the 5-Factor Fama and French Model |
| title_full | Problems Related to the Capital Assets Pricing Model on the Warsaw Stock Exchange: Applications of the 5-Factor Fama and French Model |
| title_fullStr | Problems Related to the Capital Assets Pricing Model on the Warsaw Stock Exchange: Applications of the 5-Factor Fama and French Model |
| title_full_unstemmed | Problems Related to the Capital Assets Pricing Model on the Warsaw Stock Exchange: Applications of the 5-Factor Fama and French Model |
| title_short | Problems Related to the Capital Assets Pricing Model on the Warsaw Stock Exchange: Applications of the 5-Factor Fama and French Model |
| title_sort | problems related to the capital assets pricing model on the warsaw stock exchange applications of the 5 factor fama and french model |
| topic | fama-french factors asset pricing warsaw stock exchange |
| url | https://press.wz.uw.edu.pl/sim/vol2022/iss1/1/ |
| work_keys_str_mv | AT michałgnap problemsrelatedtothecapitalassetspricingmodelonthewarsawstockexchangeapplicationsofthe5factorfamaandfrenchmodel |