The low price anomaly and the Intriguing Case of the Polish Stock Market

Adam Zaremba , Szymon Okoń , Andrzej Nowak , Przemysław Konieczka


This study investigates the low-price effect on the Polish stock market. By adopting sorting, cross-sectional tests and checks of the monotonic relation, we have examined the performance of the portfolios formed on the prices of over 850 companies listed on the Polish stock market within the years 2000-2014. Contrary to the globally prevailing evidence, the expensive stocks have significantly outperformed the cheap stocks. Additional sorts on value, size and momentum may be used further to improve the price-based strategies while the strongest anomaly has been identified among the growth companies. We hypothesize that the reverse character of the low-price anomaly may be explained by the impact of another phenomena: the underperformance of lottery-stocks. With the exception of the growth stocks, the reverse low-price effect is no longer significant after the exclusion of NewConnect companies. Finally, by adopting an alternative methodology, we have provided convincing out-of-sample evidence in support of the hypothesis of Baker et al. (2009) stating that corporate managers cater to investors by splitting their company shares in response to time-varying catering incentives.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Szymon Okoń (WZ / KIiRK)
Szymon Okoń,,
- Department of Investment and Capital Markets
, Andrzej Nowak (UEP)
Andrzej Nowak,,
- Poznań University of Economics and Business
, Przemysław Konieczka - Szkoła Główna Handlowa w Warszawie (SGH)
Przemysław Konieczka,,
Journal seriesInzinerine Ekonomika-Engineering Economics, ISSN 1392-2785, (A 20 pkt)
Issue year2016
Publication size in sheets0.55
Keywords in Englishlow price effect; Polish stock market; Warsaw Stock Exchange; cross-section of stock returns; splits; catering theory; share prices; stock market anomalies; behavioral finance; factor investing; NewConnect; lottery stocks
ASJC Classification1403 Business and International Management; 2002 Economics and Econometrics; 2201 Engineering (miscellaneous)
Languageen angielski
Score (nominal)20
Score sourcejournalList
ScoreMinisterial score = 20.0, 10-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 20.0, 10-12-2019, ArticleFromJournal
Publication indicators WoS Citations = 3; Scopus SNIP (Source Normalised Impact per Paper): 2016 = 0.862; WoS Impact Factor: 2016 = 0.726 (2) - 2016=0.815 (5)
Citation count*
Share Share

Get link to the record

* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
Are you sure?