The Size Premium on Warsaw Stock Exchange – Sumbeta Approach
Tomasz Słoński , Kamil Skoczylas , Zbigniew Grodziński
AbstractThe problem of the size premium for small capitalization listed on Warsaw Stock Exchange is the main subject of this paper. We find that abnormal returns from small capitalization stocks are not properly explained by standard CAPM approach. The main thesis is that for small capitalization stocks it takes more time to reflect current information in their prices. Therefore, the additional explanatory variable is return realized in the preceding periods. The results are statistically valid, and the additional variable helps to explain the realized return. The importance of this result is that the size premium defined as the increase of beta coefficient should be applied to majority of Polish public and non-public enterprises.
|Publication size in sheets||0.5|
|Book||Soliman Khalid S. (eds.): Education Excellence and Innovation Management: A 2025 Vision to Sustain Economic Development during Global Challenges, 2020, International Business Information Management Association (IBIMA), ISBN 9780999855141|
|Keywords in English||CAPM, small capitalization companies, beta coefficient, Warsaw Stock Exchange|
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