Comparison of a Modified and Classic Fama-French Model for the Polish Market

This paper shows a comparison of the results of return, risk, and risk price simulation by a modified and classic Fama-French model. The modified model defines the new ICAPM state variable as a function of the structure of a company’s past financial results. The model tests are run on the basis of s...

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Bibliographic Details
Main Author: Urbański Stanisław
Format: Article
Language:English
Published: Sciendo 2017-06-01
Series:Folia Oeconomica Stetinensia
Subjects:
Online Access:https://doi.org/10.1515/foli-2017-0007