Are Value, Size and Momentum Premiums in CEE Emerging Markets Only Illusionary?

Adam Zaremba , Przemysław Konieczka

Abstract

The 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
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Przemysław Konieczka - Szkoła Główna Handlowa w Warszawie (SGH)
Przemysław Konieczka,,
-
Journal seriesFinance A Uver-Czech Journal of Economics and Finance, ISSN 0015-1920, (A 15 pkt)
Issue year2015
Vol65
No1
Pages84-104
Publication size in sheets1
Keywords in English value, size, momentum, transaction costs, liquidity, cross-section of stock returns, CEE markets, Eastern Europe
ASJC Classification1402 Accounting; 2002 Economics and Econometrics; 2003 Finance
URL http://journal.fsv.cuni.cz/storage/1317_zaremba.pdf
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 = 17; Scopus SNIP (Source Normalised Impact per Paper): 2015 = 0.941; WoS Impact Factor: 2015 = 0.449 (2) - 2015=0.425 (5)
Citation count*35 (2020-07-22)
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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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