Trading costs, short sale constraints, and the performance of stock market anomalies in Emerging Europe
Adam Zaremba , Jerzy Nikorowski
AbstractThe 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.
|Journal series||Ekonomska Istrazivanja-Economic Research, ISSN 1331-677X, e-ISSN 1848-9664, (N/A 70 pkt)|
|Publication size in sheets||0.95|
|Keywords in Polish||anomalie rynku kapitałowego, koszty transakcyjne, ograniczenia krótkiej sprzedaży, płynność, rynki wschodzące, przekrój stóp zwrotu|
|Keywords in English||equity anomalies, trading costs, short-sale constraints, liquidity, emerging stock markets, cross section of stock returns|
|Score||= 70.0, 07-04-2020, ArticleFromJournal|
|Publication indicators||= 1; : 2018 = 0.775; : 2017 = 1.137 (2) - 2017=0.839 (5)|
|Citation count*||7 (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.