Title:

The market, macroeconomic, and behavioural factors in emerging markets: the case of Poland

Group publication title:

Argumenta Oeconomica

Creator:

Schabek, Tomasz ; Barros, Lucas Ayres Barreira de Campos

Description:

Argumenta Oeconomica, 2021, Nr 1 (46), s. 131-154

Abstrakt:

The study tests a broad set of market, macroeconomic, and behavioural factors in the Polish stock market using local and US data. In time series regressions, employing general-to-specific modelling and principal component analysis, the authors found that both local and foreign aggregate indicators significantly predict the behaviour of a broad portfolio of Polish stocks. However, no common factor is able to explain the cross-section of expected returns in Poland. Only firm-specific characteristics, in particular market/book value and momentum, show significance in the cross-sectional analysis. The results are consistent with recent methodological critiques, suggesting that most candidate factors fail to explain the cross-section of expected returns when more stringent inference procedures are adopted

Publisher:

Publishing House of Wroclaw University of Economics and Business

Place of publication:

Wroclaw

Date:

2021

Resource Type:

artykuł

Resource Identifier:

doi:10.15611/aoe.2021.1.06

Language:

eng

Relation:

Argumenta Oeconomica, 2021, Nr 1 (46)

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-SA 4.0

Location:

Uniwersytet Ekonomiczny we Wrocławiu