Anna Czapkiewicz , Iwona Skalna

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The main objective of this paper is to verify the performance of the Fama-French model for the Polish market. The estimates for individual stock returns are obtained using the monthly data from the Warsaw Stock Exchange for the period December 2002 to January 2010. The Generalized Method of Moments is used to test hypotheses that lead to the validation of the Fama-French model. We find that the cross-sectional mean returns are explained by exposures to the three factors, and not by the market factor alone. These results are consistent with previous studies of developed markets.


Fama–French three-factor model, Generalized Method of Moments, risk premium


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