Size and Value Effects in the Visegrad Countries
This paper has two main objectives. The first is to test for the presence of size and book-to-market value effects in the Visegrad countries (the Czech Republic, Hungary, Poland, and Slovakia). Such effects have been found in the U.S. stock market and in many other developed stock markets. The authors demonstrate that sizeand value do explain the expected return/cost of capital in eastern Europe. From this result they proceed by constructing regional size and book-to-market portfolios for a combined Visegrad market. Returns on these portfolios serve as factors in addition to the market portfolio. The second objective is constructing a model for the cost of capital. The regional three-factor model outperforms country-specific versions of the model, and it can be estimated for a more current sample in Prague, Budapest, Warsaw, and Bratislava. Therefore, it is a plausible model for the cost of capital in this region, and it is used to calculate the cost of capital for the following industries: banks; capital goods; food, beverage, and tobacco; materials; and utilities.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 47 (2011)
Issue (Month): 3 (May)
|Contact details of provider:|| Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=111024|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Eugene F. Fama & Kenneth R. French, "undated".
"Value Versus Growth: The International Evidence,"
CRSP working papers
449, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Y. Peter Chung & Michael J. Schill, 2006. "Asset Pricing When Returns Are Nonnormal: Fama-French Factors versus Higher-Order Systematic Comoments," The Journal of Business, University of Chicago Press, vol. 79(2), pages 923-940, March.
- Fama, Eugene F. & French, Kenneth R., 1997. "Industry costs of equity," Journal of Financial Economics, Elsevier, vol. 43(2), pages 153-193, February.
- Shanken, Jay & Weinstein, Mark I., 2006. "Economic forces and the stock market revisited," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 129-144, March.
- Bhandari, Laxmi Chand, 1988. " Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence," Journal of Finance, American Finance Association, vol. 43(2), pages 507-528, June.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994.
" Contrarian Investment, Extrapolation, and Risk,"
Journal of Finance,
American Finance Association, vol. 49(5), pages 1541-1578, December.
- Josef Lakonishok & Andrei Shleifer & Robert W. Vishny, 1993. "Contrarian Investment, Extrapolation, and Risk," University of Chicago - George G. Stigler Center for Study of Economy and State 84, Chicago - Center for Study of Economy and State.
- Josef Lakonishok & Robert W. Vishny & Andrei Shleifer, 1993. "Contrarian Investment, Extrapolation, and Risk," NBER Working Papers 4360, National Bureau of Economic Research, Inc.
- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- René M. Stulz, 1995. "Globalization Of Capital Markets And The Cost Of Capital: The Case Of Nestlé," Journal of Applied Corporate Finance, Morgan Stanley, vol. 8(3), pages 30-38.
- Berk, Jonathan B, 1995. "A Critique of Size-Related Anomalies," Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 275-286.
- Chan, Louis K C & Hamao, Yasushi & Lakonishok, Josef, 1991. " Fundamentals and Stock Returns in Japan," Journal of Finance, American Finance Association, vol. 46(5), pages 1739-1764, December.
- Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 1999. "The alpha factor asset pricing model: A parable," Journal of Financial Markets, Elsevier, vol. 2(1), pages 49-68, February.
- Kent Daniel, 2001. "Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?," Journal of Finance, American Finance Association, vol. 56(2), pages 743-766, 04.
- Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
- Basu, Sanjoy, 1983. "The relationship between earnings' yield, market value and return for NYSE common stocks : Further evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 129-156, June.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:47:y:2011:i:3:p:50-68. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Nguyen)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.