Illusionary Value, Size and Momentum Premiums in the CEE Markets

Zaremba, Adam; Konieczka, Przemysław

doi:10.2139/ssrn.2375454

Cited by 18 publications

(19 citation statements)

References 72 publications

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“…It is worth to note, that although we are aware that our approach do not account for value (Stattman 1980;Rosenberg et al 1985), size (Banz 1981), or momentum (Jegadeesh, Titman 1993) effects, which to some extend influence asset pricing in the Central and Eastern Europe (Cakici et al 2013;Zaremba 2015;Zaremba, Konieczka 2015), but daily data on respective asset pricing factors are not available for the CEE markets.…”

Section: Short-horizon Event Studymentioning

confidence: 99%

Mergers and Acquisitions: Evidence on Post-Announcement Performance From Cee Stock Markets

Zaremba

Płotnicki

2016

Journal of Business Economics and Management

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The paper re-examines the short-term and long-term performance following announcements of mergers and acquisitions. This is the first study that comprehensively explores this phenomenon in Central and Eastern European countries. We find strong evidence that announcement of a takeover creates value for both bidders and acquirers in the short run. Simultaneously, contrary to the stylized fact reported by a majority of U.S. based studies, after controlling for local value, size, and momentum factors the mergers and acquisitions do not destroy the value of the acquirers in the long term. The observations are important for corporate governance and portfolio management. The research is based on 109 deals in years 2001–2014. For the short-horizon event studies, we calculate average cumulative abnormal returns and we employ of the zero, index, and market models. For the long-run studies, we build equally and capitalization-weighted calendar-time portfolios and test their performances with CAPM, three-factor and four-factor models.

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Section: Short-horizon Event Studymentioning

confidence: 99%

Mergers and Acquisitions: Evidence on Post-Announcement Performance From Cee Stock Markets

Zaremba

Płotnicki

2016

Journal of Business Economics and Management

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“…The second is the lack of developed empirical literature on cross-sectional pricing in the Polish market. There is limited research on asset pricing anomalies, which generally confirms value [Borys, Zemcik, 2009;Lischewski, Voronkova, 2012;Zaremba, Konieczka, 2014, 2015a, 2015b, size [Borys, Zemcik, 2009;Welc, 2012;Lischewski, Voronkova, 2012;Sekuła, 2013;Zaremba, Konieczka, 2014, 2015a, 2015b, and momentum effects [Szyszka, 2006;Żebrowska-Suchodolska, Witkowska, 2008;Zaremba, Konieczka, 2014, 2015a, 2015b. Some literature attempts to apply the Fama-French model [Czapkiewicz, Skalna, 2010;Olbryś, 2010;Urbański, 2012;Waszczuk, 2013aWaszczuk, , 2013b.…”

Section: Introductionmentioning

confidence: 99%

Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?

Zaremba

Konieczka

2017

International Journal of Management and Economics

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This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart four-factor models on the Polish market. We use stock level data from April 2001 to January 2014 and find strong evidence for value and momentum effects, but only weak evidence for size premium. We formed portfolios double-sorted on size and book-to-market ratios, as well as on size and momentum, and we explain their returns with the above-mentioned asset pricing models. The CAPM is rejected and the three-factor and four-factor models perform well for the size and B/M sorted portfolios, but fail to explain returns on the size and momentum sorted portfolios. With the exception of the momentum factor, local Polish factors are not correlated with their European and global counterparts, suggesting market segmentation. Finally, the international value, size and momentum factors perform poorly in explaining crosssectional variation in stock returns on the Polish market.

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“…Our study has two limitations of potentially large importance. First, we did not consider transaction costs, and Novy-Marx and Velikov (2014) as well as Zaremba and Konieczka (2015) Note. This table reports the means, Sharpe ratios, and intercepts from the CAPM and the four-factor model of excess returns on quintile portfolios sorted in pairs of the following variables: the earnings-to-price ratio, the momentum, the reverse turnover ratio (the turnover ratio multiplied by -1), and the reverse skewness (skewness multiplied by -1).…”

Section: Discussionmentioning

confidence: 99%

“…This weakness is very important because many cross-sectional anomalies may stem from liquidity constraints (Jacobs, 2015;Pedersen, 2015). In fact, Novy-Marx and Velikov (2014) as well as Zaremba and Konieczka (2015) have argued that a precise adjustment for liquidity may seriously impede the profitability of certain strategies. Therefore, we also used a third weighting scheme: liquidity weighting.…”

Section: Robustness Checksmentioning

confidence: 99%

Combining Equity Country Selection Strategies

Zaremba¹

2017

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This work is licensed under a Creative Commons Attribution 4.0 International License. The recent increase in passive investment products has provided investors with easy access to international markets. The basic motivation of this paper is to offer new tools to investors who want to allocate assets across countries. This study investigates the performance of equity country selection strategies based on a combination of theoretically and empirically motivated variables. Thus, we create portfolios and assess their performance using asset pricing models. The empirical examination is based on data from 78 countries from 1999 to 2015. The strategies that are based on the earnings-toprice (EP) ratio, the turnover ratio, and skewness prove to be useful tools for international investors. Furthermore, portfolios from sorts on the blended rankings of skewness combined with the EP ratio or the turnover ratio are also characterized by an attractive risk-return ratio. However, joint strategies do not outperform strategies that are based on single metrics. Consequently, we argue that investors would be better off building a diversified portfolio rather than combining their options into one strategy because of the low correlation among returns on single-variable strategies. The number of country-level anomalies discovered constantly increases, but it remains relatively modest in comparison with the abundant literature on stock-level effects. Only a few recent papers review dozens (Jacobs, 2015) or hundreds (Harvey, Liu, & Zhu, 2015) of stock

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Illusionary Value, Size and Momentum Premiums in the CEE Markets

Cited by 18 publications

References 72 publications

Mergers and Acquisitions: Evidence on Post-Announcement Performance From Cee Stock Markets

Mergers and Acquisitions: Evidence on Post-Announcement Performance From Cee Stock Markets

Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?

Combining Equity Country Selection Strategies

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