The Size Premium on Warsaw Stock Exchange - Sumbeta Approach

The problem of the size premium for small capitalization listed on Warsaw Stock Exchange is the main subject of this paper. We find that abnormal returns from small capitalization stocks are not properly explained by standard CAPM approach. The main thesis is that for small capitalization stocks it takes more time to reflect current information in their prices. Therefore, the additional explanatory variable is return realized in the preceding periods. The results are statistically valid, and the additional variable helps to explain the realized return. The importance of this result is that the size premium defined as the increase of beta coefficient should be applied to majority of Polish public and non-public enterprises.