Multifactor-efficiency of the Fama-French Portfolios Formed on the Warsaw Stock Exchange: Bootstrap Method Application
Multifactor-efficiency of the Fama-French Portfolios Formed on the Warsaw Stock Exchange: Bootstrap Method Application
Author(s): Stanisław Urbański, Jacek LeśkowSubject(s): Business Economy / Management, Methodology and research technology, Policy, planning, forecast and speculation, Transformation Period (1990 - 2010)
Published by: Instytut Nauk Ekonomicznych Polskiej Akademii Nauk
Keywords: Fama-French model; bootstrap method; return changes; systematic risk;
Summary/Abstract: This paper presents the use of bootstrap method to assess the multifactor-efficiency of Fama-French portfolios formed on the Warsaw Stock Exchange. The presented methods estimate the nature of return changes influenced by the Fama-French factors. The risk and risk premium vectors are determined for full-sample observations (1995–2010) and two sub-periods. Using of the Fama-French model to forming the investment portfolios leads to a number of conclusions that may be useful for investors and portfolio managers. The results ofthe analysis show that application of bootstrap methods allows a better estimation of the parameters concerned. This provides a better approximation of returns changes than the classic procedures based on the assumption of normal distribution
Journal: Ekonomista
- Issue Year: 2015
- Issue No: 4
- Page Range: 515-530
- Page Count: 16
- Language: English
