Is there momentum in equity anomalies? Evidence from the Polish emerging market
Adam Zaremba , Adam Szyszka
AbstractEmerging 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.
|Journal series||Research in International Business and Finance, ISSN 0275-5319, e-ISSN 1878-3384, (0 pkt)|
|Publication size in sheets||0.9|
|Keywords in English||Momentum; Stock market anomalies; Performance persistence; Investor learning; Emerging markets; Poland; Market efficiency; Return predictability|
|Score|| = 0.0, 10-12-2019, ArticleFromJournal|
= 5.0, 10-12-2019, ArticleFromJournal
|Publication indicators||= 8; : 2016 = 1.8|
|Citation count*||18 (2020-06-12)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.