The paper is a modification of the author's proposal concerning the aggregated two- and three-factor equilibrium model. The proposed model is based on the aggregated variables dependent on the dynamics of changes of company assessment parameters and the parameters of company valuation. The presented version applies the orthogonal market variable as well as the variables which are the innovations of the rates of return on the hypothetical portfolios with the lowest and highest values of BV/MV and E/MV, and FUN, as defined in Urbański (2004). The modifications made contribute additional information to the correct description of the rates of return. The application of the orthogonal market variable eliminates an ambiguous assessment of the rates of return distribution, resulting from repeated information. The conducted analysis is based on the shares quoted on the Warsaw Stock Exchange in 1995-2005.

Keywords: rate of return, market portfolio, CAPM pricing model, Fama and French model, Fama-MacBeth method
JEL: G11, G12

  Stanisław Urbański - Impact of Innovation of Selected Factors on Price Equilibrium on the Warsaw Stock Exchange - plik pdf; (587 KB)