Are Value, Size and Momentum Premiums in CEE Emerging Markets Only Illusionary?
Adam Zaremba , Przemysław Konieczka
AbstractThe answer to the question posed in the title is mostly yes. Using sorting and crosssection, we investigate the impact of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, Slovakia and Slovenia) for the years 2000–2013. We find very high value and size premiums and strong synergy effects between value and momentum strategies. However, the impact of illiquidity and transaction costs is almost lethal. After accounting for varying bid-ask spreads and liquidity, only the value premium survives. The size and momentum effects get obliterated
|Journal series||Finance A Uver-Czech Journal of Economics and Finance, ISSN 0015-1920, (A 15 pkt)|
|Publication size in sheets||1|
|Keywords in English||value, size, momentum, transaction costs, liquidity, cross-section of stock returns, CEE markets, Eastern Europe|
|ASJC Classification||; ;|
|Score|| = 15.0, 08-01-2020, ArticleFromJournal|
= 15.0, 08-01-2020, ArticleFromJournal
|Publication indicators||= 17; : 2015 = 0.941; : 2015 = 0.449 (2) - 2015=0.425 (5)|
|Citation count*||37 (2020-09-10)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.