MULTIFACTOR MODELS OF MOMENTUM PORTFOLIOS ON THE WARSAW STOCK EXCHANGE, 1999-2009

The authors computed selected portfolio factor returns for the stock listed on the WSE over the 1999-2009 period. There is a size premium on the WSE, while the size and sign of the value premium depends on the value factor used. Investors also seem to put a premium on corporate liquidity. Top momentum deciles as well as the momentum factor exhibit on average positive returns. Further the authors tested a number of multifactor models of momentum portfolios. It appears that the SP factor based on he Sales/Prices relative valuation of stocks has some power in explaining the momentum returns. Further testing of this and other factors introduced above, EP, CP and ATI sems desirable