Quality investing in CEE emerging markets
AbstractUsing 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.
|Journal series||Business, Management and Education, ISSN 2029-7491, e-ISSN 2029-6169, (0 pkt)|
|Publication size in sheets||1.05|
|Keywords in English||cross-section of stock returns, quality investing, CEE stock market, Central and Eastern Europe, gross profitability premium, liquidity premium, leverage, bid-ask spread, accruals|
|Score|| = 0.0, 10-12-2019, ArticleFromJournal|
= 5.0, 10-12-2019, ArticleFromJournal
|Citation count*||3 (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.