The paper presents the results of the estimation of parameters of the price arbitrage model for 61 companies listed on the Warsaw Stock Exchange, between January 1997 and November 2001. Based on the model, the author presents methods of constructing investment portfolios with required levels of risk and return. The possible relationship between information from financial, currency and commodity markets and the level of share prices has been examined. The results suggest that the prices of the shares in question are affected by world stock exchange indices, domestic interest rate levels, exchange rates and the prices of copper.