Size and value effects in the Visegrad countries

0364283 - NHÚ 2012 RIV US eng J - Článek v odborném periodiku
Morgese Borys, Magdalena - Zemčík, Petr
Size and value effects in the Visegrad countries.
Emerging Markets Finance and Trade. Roč. 47, č. 3 (2011), s. 50-68. ISSN 1540-496X. E-ISSN 1558-0938
Grant CEP: GA MŠMT LC542
Výzkumný záměr: CEZ:AV0Z70850503
Klíčová slova: book-to-market ratio * Fama and French factors * Visegrad countries
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 0.953, rok: 2011

This paper has two main objectives. The first is to test for the presence of size and book-to-market value effects in the Visegrad countries (the Czech Republic, Hungary, Poland, and Slovakia). The second objective is constructing a model for the cost of capital. The regional three-factor model outperforms country-specific versions of the model, and it can be estimated for a more current sample in Prague, Budapest, Warsaw, and Bratislava. Therefore, it is a plausible model for the cost of capital in this region, and it is used to calculate the cost of capital for the following industries: banks; capital goods; food, beverage, and tobacco; materials; and utilities.
Trvalý link: http://hdl.handle.net/11104/0199805