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Browsing by Subject "risk premium"

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  • thumbnail.journal.alt
    Item type:Article, Access status: Open Access ,
    Selected approaches for testing asset pricing models using Polish stock market data
    (Wydawnictwa AGH, 2014) Czapkiewicz, Anna; Skalna, Iwona
    The main objective of this paper is to discuss alternative methods for testing the Fama-French (FF) three-factor asset pricing model. The properties of the selected methods are compared through a simulation study. The main stress is put on the behaviour of the selected methods for small samples. The parameters used in the simulation study are obtained on the basis of real data coming from the Polish stock market (Warsaw Stock Exchange). Different sample characteristics such as homoscedasticity, conditional heteroscedasticity and autocorrelation as well as heteroscedasticity are tested.