Digesting anomalies in emerging European markets: A comparison of factor pricing models

Adam Zaremba , Anna Czapkiewicz

Abstract

This study compares the performance of four popular factor pricing models—the capital asset-pricing model (Sharpe, 1964), the three-factor model of Fama and French (1993), the four-factor model of Carhart (1997), and the five-factor model of Fama and French (2015a)—testing their explanatory power over a broad range of cross-sectional return patterns in emerging European markets. We identify, classify, and replicate 100 anomalies documented in the financial literature. Only 20 (32) of the capitalization-weighted (equal-weighted) anomaly portfolios are significantly profitable. We show that the five-factor model best explains the returns of anomaly portfolios and verify its superiority over the other models.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Anna Czapkiewicz - AGH University of Science and Technology (AGH), MNiSW [80]
Anna Czapkiewicz,,
-
Journal seriesEmerging Markets Review, ISSN 1566-0141, (A 30 pkt)
Issue year2017
Vol31
Pages1-15
Publication size in sheets0.7
Keywords in EnglishAsset pricing, Factor models, Anomalies, Emerging European markets, Emerging markets, Cross section of returns, Size, Value, Momentum, Profitability, Asset growth
ASJC Classification1403 Business and International Management; 2002 Economics and Econometrics
DOIDOI:10.1016/j.ememar.2016.12.002
URL https://www.sciencedirect.com/science/article/pii/S1566014116301741
Languageen angielski
Score (nominal)30
Score sourcejournalList
ScoreMinisterial score = 30.0, 27-03-2020, ArticleFromJournal
Publication indicators WoS Citations = 13; Scopus SNIP (Source Normalised Impact per Paper): 2017 = 1.382; WoS Impact Factor: 2017 = 1.871 (2) - 2017=2.621 (5)
Citation count*45 (2020-07-09)
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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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