Trading costs, short sale constraints, and the performance of stock market anomalies in Emerging Europe

Adam Zaremba , Jerzy Nikorowski

Abstract

The study has investigated the impact of trading costs and short-sale constraints on the performance of 70 stock market anomalies in Emerging Europe. While over 30 of the replicated strategies – mostly related to value, momentum, technical analysis, profitability, and issuance effects – delivered significant abnormal returns, the impact of trading costs and short-sale constraints proved truly lethal to most strategies. Once we accounted for commissions, bid-ask spreads, company size, weighting method, and short-sale unavailability, only a handful of anomalies remain significantly profitable. Our research relied on sorting procedures and cross-sectional tests applied to a sample of over 1,800 stocks from the Czech Republic, Hungary, Poland, Russia and Turkey in the years 2000 to 2015.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Jerzy Nikorowski
Jerzy Nikorowski,,
-
Journal seriesEkonomska Istrazivanja-Economic Research, ISSN 1331-677X, e-ISSN 1848-9664, (N/A 70 pkt)
Issue year2019
Vol32
No1
Pages403-422
Publication size in sheets0.95
Keywords in Polishanomalie rynku kapitałowego, koszty transakcyjne, ograniczenia krótkiej sprzedaży, płynność, rynki wschodzące, przekrój stóp zwrotu
Keywords in Englishequity anomalies, trading costs, short-sale constraints, liquidity, emerging stock markets, cross section of stock returns
ASJC Classification2002 Economics and Econometrics
DOIDOI:10.1080/1331677X.2018.1545593
URL https://www.tandfonline.com/doi/full/10.1080/1331677X.2018.1545593
Languageen angielski
Score (nominal)70
Score sourcejournalList
ScoreMinisterial score = 70.0, 07-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 1; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.775; WoS Impact Factor: 2017 = 1.137 (2) - 2017=0.839 (5)
Citation count*7 (2020-09-10)
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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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