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Problems Related to the Capital Assets Pricing Model on the Warsaw Stock Exchange: Applications of the 5-Factor Fama and French Model

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  • Michal Gnap

    (Deloitte Audyt Spolka z o.o.)

Abstract

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.

Suggested Citation

  • Michal Gnap, 2022. "Problems Related to the Capital Assets Pricing Model on the Warsaw Stock Exchange: Applications of the 5-Factor Fama and French Model," Research Reports, University of Warsaw, Faculty of Management, vol. 1(36), pages 4-14.
    • Handle: RePEc:sgm:resrep:v:1:i:36:y:2022:p:4-14
    as

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    File URL: http://www.sim.wz.uw.edu.pl/sites/default/files/artykuly/michal_gnap.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Fama-French factors; asset pricing; Warsaw Stock Exchange;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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