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Volume 9
Issue 3
Online publication date 2013-10-25
Title Company size, book-to-market and momentum effects, and other deviations from the CAPM - evidence from the Warsaw stock exchange
Author Leszek Czapiewski
Capital Asset Pricing Model is one of the most popular models applied to explain the risk premium for capital employment. The model has been tested for developed capital markets with conclusions that emphasised many of its imperfections. Some of these imperfections are connected with company characteristics, such as a company’s size, book-to-market value etc. The aim of the research is to test whether the anomalies of the CAPM that have been pointed out so far are also true for Poland. I concentrate on companies listed on the Warsaw Stock Exchange during 2007-2010. The event study is applied to identify these anomalies. The research results reveal that the expected returns approximated by the CAPM are contaminated during the evaluation process. This is in line with the conclusions of a previous research paper discussing developed countries.   
Ahern, K.R., 2009. "Sample selection and event study estimation", Journal of Empirical Finance, Vol.16, pp.466-482,
Brown, S.J., Warner, J.B., 1980. "Measuring security price performance", Journal of Financial Economics, Vol. 8, pp.205-258,
Brown, S.J., Warner, J.B., 1985. "Using daily stock returns - the case of event studies", Journal of Financial Economics, Vol. 14, pp.3-31,
Campbell, J.Y., Lo, A.W., MacKinlay, A.C., 1997. The econometrics of financial markets, Princeton University Press, Princeton, New Jersey
Fama, E.F.; Fisher, L.; Jensen, M.C.; Roll, R., 1969. "The adjustment of stock prices to new information", International Economic Review, Vol. 10, pp.1-21,
Kothari, S.P., Warner, J.B., 2008. "Econometrics of event studies", in: Eckbo B.E. (ed.), Handbook of Corporate Finance. Empirical Corporate Finance. Vol 1, Elsevier/North-Holland, Amsterdam, pp.3-36
Keywords CAPM anomalies, event studies, size effect, book-to-market effect, momentum effect
Pages 79-86
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