Digesting anomalies in emerging European markets: A comparison of factor pricing models
Adam Zaremba , Anna Czapkiewicz
AbstractThis 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.
|Journal series||Emerging Markets Review, ISSN 1566-0141, (A 30 pkt)|
|Publication size in sheets||0.7|
|Keywords in English||Asset pricing, Factor models, Anomalies, Emerging European markets, Emerging markets, Cross section of returns, Size, Value, Momentum, Profitability, Asset growth|
|Score||= 30.0, 27-03-2020, ArticleFromJournal|
|Publication indicators||= 13; : 2017 = 1.382; : 2017 = 1.871 (2) - 2017=2.621 (5)|
|Citation count*||48 (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.