[Work in progress] Which Risk Factors Are Priced in the Polish Equity Market? Evidence from Fama–MacBeth Regressions.
DOI:
https://doi.org/10.15611/fins.2026.1.03Keywords:
asset pricing, risk factors, Polish equity market, factor modelsAbstract
Aim: The article examines whether locally constructed risk factors are priced in the cross-section of Polish equity returns.
Methodology: The study uses monthly data for 1,318 companies listed on the WSE Main Market and NewConnect from July 2002 to December 2025. Local market, size, value, and momentum factors are tested within the CAPM, Fama–French three-factor, and Carhart four-factor frameworks. The analysis
applies time-series regressions, the GRS test, and Fama–MacBeth regressions with Newey–West and Shanken-corrected inference.
Findings: Multifactor models describe Polish portfolio returns better than the CAPM, but improved time-series fit does not necessarily imply cross-sectional pricing. The momentum factor shows the strongest unconditional premium, while Fama–MacBeth regressions provide the clearest evidence for the pricing of size exposure. Value and momentum effects are visible in portfolio returns, but their betas are not consistently priced.
Implications: The results indicate that factor returns, model fit, and priced risk premia should be interpreted separately. For practitioners, size, value, and momentum may support portfolio construction, but should not be treated mechanically as priced sources of systematic risk.
Originality/value: The article provides a direct beta-pricing test for the Polish equity market using local factors and a broad sample including both the WSE Main Market and NewConnect.
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Copyright (c) 2026 Andrzej Balcerzak
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Accepted 2026-06-30
Published 2026-06-30
