Quality investing in CEE emerging markets

Adam Zaremba

Abstract

Using sorting, cross-sectional tests, regression, and tests of a monotonic relation, the study examines the return patterns related to seven distinct quality characteristics: accruals, bid-ask spread, balance sheet liquidity, profitability, leverage, payout ratio and turnover. The investigation of more than 1.300 stocks from 11 Central and Eastern European countries for the period 2002–2014 documents a strong gross-profitability premium and an inverted liquidity premium. Profitable and not heavily leveraged companies provide a partial hedge against market distress. Finally, the paper proposes quality spreads as a forecasting tool and shows that they have predictive abilities over quality premiums related to leverage, profitability and bid-ask spread.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesBusiness, Management and Education, ISSN 2029-7491, e-ISSN 2029-6169, (0 pkt)
Issue year2014
Vol12
No2
Pages159-180
Publication size in sheets1.05
Keywords in Englishcross-section of stock returns, quality investing, CEE stock market, Central and Eastern Europe, gross profitability premium, liquidity premium, leverage, bid-ask spread, accruals
DOIDOI:10.3846/bme.2014.241
Languageen angielski
Score (nominal)5
Score sourcejournalList
ScoreMinisterial score = 0.0, 10-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 5.0, 10-12-2019, ArticleFromJournal
Citation count*3 (2020-09-10)
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