Abstract
In this paper we investigate the sources and characteristics of value, size and momentum premiums on the Polish market. The research aims to broaden the academic knowledge in a few ways. First, we deliver some fresh out-of-sample evidence on value, momentum and size premiums. Second, we examine the interdependences among the factors. Third, we investigate if the factor premiums are present after accounting for liquidity. Fourth, we check whether the factor premiums are robust to transaction costs. Our computations are based on stocks listed on the WSE in years 2001-2013. We find, that the value, momentum and size premiums are to some extend present on the Polish market and additionally amplify each other, but they disappear after accounting for transaction costs and liquidity.
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