Trading costs, short sale constraints, and the performance of stock market anomalies in Emerging Europe

Bibliographic Data

ID15067348
AuthorsAlan Zaremba (0000-0001-5879-9431, Poznań University of Economics and Business, corresponding author), Jerzy Nikorowski (BGŻ BNP Paribas, Warsaw, Poland)
Year2019
Volume32
Issue1
Pages403-422
Publication date2019-01-01
Peer ReviewedYes
Open AccessYes
TypeARTICLE
VenueEconomic Research-Ekonomska Istraživanja (JOURNAL)
Journal identifiersISSN: 1331-677X • E-ISSN: 1848-9664
PublisherInforma UK Limited (PUBLISHER • GB)
DOI10.1080/1331677x.2018.1545593
OpenAlexW3125345712
LanguageEN
Citations received2
References cited31

The 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

Business · Economics · Emerging markets · Financial economics · Geography · Profitability index · Stock market · Trading strategy · Unavailability · Engineering · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Stock Market Forecasting Methods · Finance

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Open DOISci-HubOpen Access