A six-factor extension of the Fama-French asset pricing model – the case of the Polish stock market

Multifactor asset pricing models evolved at an accelerated pace in the past few years after publication of Fama and French five-factor model. Despite results from developed markets which arguably make sixth momentum factor redundant, authors showed this study that emerging market, e.g. Warsaw Stock Exchange, (persistence returns) is still a major factor. The data covers period 2010-2018 on monthly granularity, during Polish stock market was considered ‘emerging’.