Is there momentum in equity anomalies? Evidence from the Polish emerging market

Adam Zaremba , Adam Szyszka

Abstract

Emerging markets are thought to be a cornucopia of equity anomalies. Yet while markets mature, by learning investors raise the level of market efficiency diminishing the profitability of the existing patterns. Taking the Polish stock market as an example, we offer a viable solution to this tendency – an active asset allocation strategy based on the momentum effect. First, we identify and replicate 100 anomalies in the cross-section of returns. Then, having documented the momentum in their performance, we translate it into a profitable strategy. Going long (short) on the anomalies which performed best (worst) in the past produces significant raw and risk-adjusted returns outperforming a naive benchmark of equal weights of all profitable anomalies. The results are robust to various considerations.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Adam Szyszka - Szkoła Główna Handlowa w Warszawie (SGH)
Adam Szyszka,,
-
Journal seriesResearch in International Business and Finance, ISSN 0275-5319, e-ISSN 1878-3384, (0 pkt)
Issue year2016
Vol38
Pages546-564
Publication size in sheets0.9
Keywords in EnglishMomentum; Stock market anomalies; Performance persistence; Investor learning; Emerging markets; Poland; Market efficiency; Return predictability
ASJC Classification1401 Business, Management and Accounting (miscellaneous); 2003 Finance
DOIDOI:10.1016/j.ribaf.2016.07.004
URL https://www.sciencedirect.com/science/article/pii/S0275531916301416?via%3Dihub
Languageen angielski
Score (nominal)5
Score sourcejournalList
ScoreMinisterial score = 0.0, 10-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 5.0, 10-12-2019, ArticleFromJournal
Publication indicators WoS Citations = 8; Scopus SNIP (Source Normalised Impact per Paper): 2016 = 1.8
Citation count*18 (2020-06-12)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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