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Book-to-Market, Size and Momentum Factors in Market-Timing Models: The Case of the Polish Emerging Market

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  • Joanna Olbrys

    (Bialystok University of Technology, Faculty of Computer Science)

Abstract

The main goal of this paper is to present modified multifactor extensions of classical markettiming models, with Fama and French’s spread variables SMB and HML, and Carhart’s momentum factor WML, on the Polish emerging market1. The empirical results on the Warsaw Stock Exchange (WSE) show a pronounced Fisher’s effect in the case of the main WSE indexes. For this reason, we include lagged values of the market factor as an additional independent variable in the regressions of market-timing models. The market-timing and selectivity abilities of fund managers are evaluated for the period January 2003 to December 2010. We test a group of selected Polish equity open-end mutual funds. We compare the seemingly unrelated regression (SUR) and the Newey-West method (HAC) results of the models and investigate their statistical properties.

Suggested Citation

  • Joanna Olbrys, 2011. "Book-to-Market, Size and Momentum Factors in Market-Timing Models: The Case of the Polish Emerging Market," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 3(2).
    • Handle: RePEc:ttu:rebcee:31
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    Cited by:

    1. Joanna Olbryś & Elżbieta Majewska, 2014. "Implications of market frictions: serial correlations in indexes on the emerging stock markets in Central and Eastern Europe," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 24(1), pages 51-70.

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