A risk-based explanation of return patterns-Evidence from the Polish stock market

► On the WSE there are return patterns linked to fundamentals, momentum and volatility. ► The magnitude of patterns in average returns depends on the return weighting scheme. ► Book-to-market ratio is a persistent determinant of cross-section of stock returns. ► Three-factor model explains most of the recognised CAPM anomalies on the WSE. ► Polish SMB and HML risk factors are not correlated with US and German counterparts.