Working Papers

The WNE Working Papers series has been published by the Faculty of Economic Sciences at the University of Warsaw since 2008.

The WNE Working Papers series provides a fast, open channel for disseminating research conducted at the Faculty of Economic Sciences, University of Warsaw. The papers hosted here are working versions (pre-prints) and may evolve as authors refine their analyses, incorporate feedback, or progress through formal peer-review. What you read is the current version released by the authors, timestamped and assigned DOI/ISSN identifiers to ensure precise citation and version tracking. Copyright remains with the authors, who may, at any time, upload a revised file or add a note directing readers to a later, peer-reviewed publication.

The Working Papers series accepts articles by research employees of the Faculty and publications from conferences organised at the Faculty of Economic Sciences at the University of Warsaw. Articles should be original research papers which have not been previously published, on the subject of economics.

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Number of Results 7

WP(14/2022)390. Investor Sentiment in Asset Pricing Models: A Review

Authors: Lis Szymon
Despite the number of works on investor sentiment in asset pricing models the results did not allow to obtain a coherent knowledge about this sentiment. Most of the researchers used different measures and various models to study the impact of sentime…

WP390. Investor Sentiment in Asset Pricing Models: A Review

Despite the number of works on investor sentiment in asset pricing models the results did not allow to obtain a coherent knowledge about this sentiment. Most of the researchers used different measures and various models to study the impact of sentiment on stocks returns. However, the empirical relationship between investor sentiment and stock market behavior remains unclear. This study focuses on reviewing the methodologies and empirical findings of 71 papers published between 2000 and 2021 that apply different investor sentiment measures for modeling returns. The research confirmed two out of the three research hypotheses that the investor sentiment proxies and higher complexity of the model with the investor sentiment indicator improve the coefficient of determination. The second one was rejected, however, this may be due to too small a sample. For the hypothesis that models with more complex sentiment have better predictive power than those with simpler proxies, the number of studies was insufficient to refer strongly to the hypothesis.


Lis Szymon
Investor sentiment Asset pricing Multifactor models Behavioral finance Risk factors stock market behavior

WP(10/2018)269. Corporate governance, tax evasion and business cycles

Authors: Kokoszczyński Ryszard, Mbara Gilbert
We develop an agency model of corporate tax evasion and auditing by a residual claimant government and embed it to a macroeconomic environment characterised by credit constraints. In our economy, tax auditing by the government reduces the information…

WP269. Corporate governance, tax evasion and business cycles

We develop an agency model of corporate tax evasion and auditing by a residual claimant government and embed it to a macroeconomic environment characterised by credit constraints. In our economy, tax auditing by the government reduces the information asymmetry between lenders and entrepreneurs with an investment opportunity. Corporate governance quality consequently affects macroeconomic variables; with changes in tax rates, auditing and quality of corporate governance having aggregate effects. We show that changes in the revenue system; tax and audit rates, can directly affect asset prices and inflate the effects of exogenous shocks to the economy.


DOI: http://doi.org.10.26405/WP/WNE/2018/269/010
Kokoszczyński Ryszard, Mbara Gilbert
corporate governance credit constraints taxation asset pricing tax evasion agency problem

WP(10/2016)201. Applying Exogenous Variables and Regime Switching to Multifactor Models on Equity Indices

Authors: Sakowski Paweł, Ślepaczuk Robert, Wywiał Mateusz
This article aims to extend the evaluation of classic multifactor models of Carhart(1997) for the case of global equity indices and to expand analysis performed in Sakowski, Slepaczuk, and Wywial (2015). Our intention is to test several modifications…

WP201. Applying Exogenous Variables and Regime Switching to Multifactor Models on Equity Indices

This article aims to extend the evaluation of classic multifactor models of Carhart(1997) for the case of global equity indices and to expand analysis performed in Sakowski, Slepaczuk, and Wywial (2015). Our intention is to test several modifications of these models to take into account different dynamics of equity excess returns between emerging and developed equity indices. Proposed extensions include volatility regime switching mechanism (using dummy variables and the Markov approach) and three new risk factors based on realized volatility of index returns, percentage deviation from nominal GDP trend and capitalisation relative to GDP factor. Additional modifications include introduction of common and country specific variables in order to control for global risk where fluctuations of volatility of various assets, prices of commodities, currencies and rates is really important. Moreover, instead of using data for individual stocks (which is a common approach in the literature), we evaluate the performance of these models for weekly data of 81 world investable equity indices in the period of 2000-2015. Such approach is proposed to estimate equity risk premium for a single country. Empirical evidence from the first part reveals important differences between results for classical models estimated on single stocks (either in international or US-only frame work) and models evaluated for equity indices. Additionally, we observe substantial discrepancies between results for developed countries and emerging markets. The last part of this research helps us to understand results revealed in the first part. Thanks to introduction of new risk factors, and additional common and country specific variables we were able to increase explanatory power of our factor models especially in case of emerging market indices. Finally, using weekly data for the last 15 years we illustrate importance of model risk and data overfitting effects when drawing conclusions upon results of multifactor models.


Sakowski Paweł, Ślepaczuk Robert, Wywiał Mateusz
multi-factor models asset pricing models equity risk premia equity indices new risk factors sensitivity analysis book to market momentum market price of risk emerging and developed equity indices

WP(9/2016)200. Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?

Authors: Sakowski Paweł, Ślepaczuk Robert, Wywiał Mateusz
We find that detailed analysis of multi-factor models makes it possible to propose investment strategies based on equity risk premium disequlibrium. We examine two investment algorithms built on weekly data of world equity indices for emerging and de…

WP200. Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?

We find that detailed analysis of multi-factor models makes it possible to propose investment strategies based on equity risk premium disequlibrium. We examine two investment algorithms built on weekly data of world equity indices for emerging and developed countries in the period of 2000-2015. We create seven risk factors using additional data about market capitalisation, book value, country GDP and betas of equity indices. The first strategy utilises theoretical value of equity risk premium from seven-factor Markov-switching model with variables common for all countries and variables specific to developed/emerging countries. We compare theoretical with realised equity risk premium for a given index to undertake the buy/sell decisions. The second algorithm works only on eight risk factors and applies them as input variables to Markowitz models with alternative optimisation criteria (target risk, target return, maximum Sharpe ratio, minimum variance and equally weighted assets). Finally, we notice that the impact of risk factors on final results of investment strategy is much more important than the selection of a particular econometric model in order to correctly evaluate equity risk premium.


Sakowski Paweł, Ślepaczuk Robert, Wywiał Mateusz
investment algorithms multi-factor models Markov switching model asset pricing models equity risk premia risk factors Markowitz model

WP(39/2015)187. Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices

Authors: Sakowski Paweł, Ślepaczuk Robert, Wywiał Mateusz
This article aims to extend evaluation of classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al.(2015). Our intention is to test several modifications of these models to …

WP187. Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices

This article aims to extend evaluation of classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al.(2015). Our intention is to test several modifications of these models to take into account different dynamics of equity excess returns between emerging and developed equity indices. Proposed extensions include volatility regime switching mechanism (using dummy variables and the Markov approach) and the fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular market (which is a common approach in the literature), we check performance of these models for weekly data of 81 world investable equity indices in the period of 2000-2015. Such approach is proposed to estimate equity risk premium for a single country. Empirical evidence reveals important differences between results for classical models estimated on single stocks (either in international or US-only framework) and models evaluated for equity indices. Additionally, we observe substantial discrepancies between results for developed countries and emerging markets. Finally, using weekly data for the last 15 years we illustrate importance of model risk and data overfitting effects when drawing conclusions upon results of multifactor models.


Sakowski Paweł, Ślepaczuk Robert, Wywiał Mateusz
cross-sectional models asset pricing models equity risk premia equity indices new risk factors sensitivity analysis book to market momentum market price of risk emerging and developed equity indices data overfitting model risk

WP(30/2014)147. Generalized Momentum Asset Allocation Model

Authors: Arendarski Piotr, Misiewicz Paweł, Nowak Mariusz, Skoczylas Tomasz, Wojciechowski Robert
 In this paper we propose Generalized Momentum Asset Allocation Model (GMAA). GMAA is a new approach to construct optimal portfolio and is based on close examination of asset?s returns distribution. GMAA tries to capture certain market phenomena…

WP147. Generalized Momentum Asset Allocation Model

 In this paper we propose Generalized Momentum Asset Allocation Model (GMAA). GMAA is a new approach to construct optimal portfolio and is based on close examination of asset?s returns distribution. GMAA tries to capture certain market phenomena and use information they contain as predictors for future returns. Our model is validated using MSCI Indexes with MSCI World Index set as a benchmark. We find results rather promising as we managed to significantly reduce portfolio volatility and obtain stable path of cumulative returns of portfolio. Our model outperforms benchmark in terms of Information Ratio or Maximum Drawdown. Detailed sensitivity analysis was conducted at the end of this paper and it shows that our strategy is sensitive to a few optimization parameters thus further research may be required.


Arendarski Piotr, Misiewicz Paweł, Nowak Mariusz, Skoczylas Tomasz, Wojciechowski Robert
asset allocation diversification momentum trading strategy capital asset pricing models returns forecasting efficient risk and return measures

WP(2/2014)119. Portfolio Performance Implications of Environmental, Social and Governance based Asset Selection

Authors: Mueller Florian
This study examines the linkage between corporate social responsibility and stock market returns in the USA, Canada, Germany, the United Kingdom and Switzerland. Concentrating on corporate disclosure and corporate eco-efficiency, we find mostly mixed…

WP119. Portfolio Performance Implications of Environmental, Social and Governance based Asset Selection

This study examines the linkage between corporate social responsibility and stock market returns in the USA, Canada, Germany, the United Kingdom and Switzerland. Concentrating on corporate disclosure and corporate eco-efficiency, we find mostly mixed results by employing factor performance attribution models. A theoretical framework to model the real underlying relation is presented.


Mueller Florian
Corporate Social Responsibility Corporate Sustainability Corporate Disclosure Eco-Efficiency Environmental Performance Asset Pricing Models Performance Evaluation Portfolio Analysis ESG (environmental social governance) Asset Selection
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