Value, Size, Momentum, and Unique Role of Microcaps in CEE Market Stock Returns

Adam Zaremba

Abstract

This article examines cross-sectional asset-pricing methods based on value, size, and momentum on the Central and Eastern European (CEE) markets. It highlights the unique role of microcap equities. The analysis is based on stock-level data for 11 countries within the period from April 2001 to June 2014. It provides strong evidence for the value and momentum effects, simultaneously questioning the traditional size premium. Furthermore, the study indicates exceptionally high returns on microcaps. Except for the momentum and market risk premium, it reveals no correlation between local CEE pricing factors and global, or Western European, factors. Although both three-factor and four-factor models based on local factors outperform the models based on international factors, they fail to explain the abnormal returns observed in the case of microcaps. However, the introduction of a new pricing factor—micro minus rest (MMR)—leads into nearly entire rectification of this defect.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesEastern European Economics, ISSN 0012-8775, (A 15 pkt)
Issue year2015
Vol53
No3
Pages221-241
Publication size in sheets1
Keywords in Englishasset-pricing, CEE markets, cross-section of stock returns, market segmentation, microcaps, momentum, multifactor models, size premium, value premium
ASJC Classification2002 Economics and Econometrics
DOIDOI:10.1080/00128775.2015.1034059
Languageen angielski
Score (nominal)15
Score sourcejournalList
ScoreMinisterial score = 15.0, 08-01-2020, ArticleFromJournal
Ministerial score (2013-2016) = 15.0, 08-01-2020, ArticleFromJournal
Publication indicators WoS Citations = 9; Scopus SNIP (Source Normalised Impact per Paper): 2015 = 0.527; WoS Impact Factor: 2015 = 0.404 (2) - 2015=0.496 (5)
Citation count*22 (2020-06-25)
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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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