IDEAS home Printed from
   My bibliography  Save this paper

Fundamentals and stock returns on the Warsaw Stock Exchange. The application of panel data models


  • Monika Witkowska

    (Warsaw School of Economics)


This study examines the relationship between the future stock returns and the fundamental indices for companies listed on the Warsaw Stock Exchange in Poland. The fundamental exogenous variables were constructed following the previous research of Lev and Thiagarajan [1993], Abarbanell and Bushee [1997], Piotroski [2000] and Mohanram [2004], while the endogenous variable is defined as a one-year-ahead stock return. Empirical analysis based on a panel data model for 187 companies in years 1999 – 2003 finds that the future stock returns are significantly related to three fundamental variables, i.e. gross margin, sales and administrative expenses and return on assets. Stock returns are also strongly associated with price-earnings ratio. Most of the relationships do no longer hold in case of short-term future stock returns.

Suggested Citation

  • Monika Witkowska, 2006. "Fundamentals and stock returns on the Warsaw Stock Exchange. The application of panel data models," Working Papers 11, Department of Applied Econometrics, Warsaw School of Economics.
  • Handle: RePEc:wse:wpaper:11

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. repec:bla:joares:v:35:y:1997:i:1:p:1-24 is not listed on IDEAS
    2. repec:bla:joares:v:31:y:1993:i:2:p:190-215 is not listed on IDEAS
    3. repec:bla:joares:v:38:y:2000:i::p:1-41 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    More about this item


    stock returns; fundamental analysis; panel data models;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wse:wpaper:11. 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: (Marcin Owczarczuk) or (The York Management School). General contact details of provider: .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.