Seminarium ośrodków QFRG i DSLab z udziałem dr. hab. Juliusza Jabłeckiego, prof. ucz.

Dr hab. Juliusz Jabłecki, prof. ucz. (Katedra Finansów Ilościowych i Uczenia Maszynowego WNE) omówi badanie „From Theory to Practice: Polish Equity Risk Factors and Their Implementation Costs” – 19 maja br. o godz. 17:30. Będzie to kolejne spotkanie cyklu, jaki organizują ośrodki QFRG i DSLab.

Zapraszamy do sali B002 lub – zdalnie. (Wówczas – o połączenie poprosimy do godz. 17:25).

Link do spotkania na platformie Zoom: https://uw-edu-pl.zoom.us/j/93886973103?pwd=2S2L5mY29vEPl3VGAasjTQlB1iwMHu.1

[Identyfikator spotkania: 938 8697 3103
Kod dostępu: 716724]

Poniżej – dostępny jest abstrakt wystąpienia.

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This paper investigates the performance and implementability of equity factor strategies – value, momentum, quality, and low volatility (defensive) – in the Polish stock market over the 2014–2024 period. The “academic” factors constructed as long-short portfolios are found to produce positive returns lowly (or negatively) correlated with the broad market. However, once transaction costs – including bid-ask spreads, commissions, and market impact – are incorporated, net factor returns deteriorate substantially, losing much of their appeal. The absence of a developed short-selling market in Poland further challenges the direct replication of traditional academic factor models. Despite these frictions, factor signals can still add value in a long-only framework, particularly when turnover constraints and liquidity filters are introduced. Backtests of factor-tilted portfolios demonstrate that smart beta-style implementations, especially those complemented by short positions in WIG20 index futures neutralizing market exposure, offer a viable alternative to pure long-short factor strategies.