Similar Search Results

Paper profits from value, size and momentum : Evidence from the Polish market

Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69

In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyzemthe...

Persistent link: https://www.econbiz.de/10011455379

The low price effect on the Polish market

Zaremba, Adam; Żmudziński, Radosław - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 1, pp. 69-85

In this paper we investigate the characteristics of the low price anomaly, which implies higher returns to stocks with a low nominal price. The research aims to broaden academic knowledge in a few ways. Firstly, we deliver some fresh evidence on the low price effect from the Polish market....

Persistent link: https://www.econbiz.de/10010390247

Non-Synchronous Trading in Indonesia Stock Exchange

Pasaribu, Rowland Bismark - 2011

This study aimed to clarify the value of the bias beta stocks listed on the Indonesia Stock Exchange and make corrections to the bias value using Scholes and Williams, Dimson, and Fowler and Rorke. Results of this study indicate that the stock beta is the value of bias, besides the results...

Persistent link: https://www.econbiz.de/10013123883

Relevance of Accrual Anomaly Information in Stock Portfolio Formation - Case Study : Indonesia Stock Exchange

Pasaribu, Rowland Bismark - 2011

The accrual information is discussed in light of multifactor factor asset pricing theory. It is argued that the capital … market processes information efficiently, and that low accruals firms are risky and therefore earn higher average returns. In … objective of this study is to prove significance influence of accrual information and to evaluate the performance of stock …

Persistent link: https://www.econbiz.de/10013123885

Stock Portfolio with Fama-French Model in Indonesian Stock Exchange

Pasaribu, Rowland Bismark - 2011

This study examines empirically the Fama and French three factor model of stock returns using Indonesian data over 2003-2006 period. Specifically, it examines the behavior of stock prices, in relation to size (market equity, ME) and book-to-market ratio. The major objective of this study is to...

Persistent link: https://www.econbiz.de/10013123907

Trading Costs, Short Sale Constraints, and the Performance of Stock Market Anomalies in Emerging Europe

Zaremba, Adam - 2019

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 –...

Persistent link: https://www.econbiz.de/10012903346

The Momentum Effect in Country-Level Stock Market Anomalies

Zaremba, Adam - 2019

The aim of this paper is to investigate the momentum effect in country-level anomalies in global equity markets. By using a sample of 78 countries for the period from 1995 to 2015, we test a set of potential 40 cross-sectional inter-market anomalies, some of which had never been examined before....

Persistent link: https://www.econbiz.de/10012904212

Is there Momentum in Factor Premia? Evidence from International Equity Markets

Zaremba, Adam - 2019

This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of...

Persistent link: https://www.econbiz.de/10012893036

Reverse Splits in International Stock Markets : Reconciling the Evidence on Long-Term Returns

Zaremba, Adam - 2018

Do firms conducting reverse splits underperform or overperform in the long run? To resolve this question we investigate the long-term returns following more than 5,000 reverse splits conducted in 24 developed equity markets between the years 1990 and 2016. Using the calendar-time portfolio...

Persistent link: https://www.econbiz.de/10012935751

Merger Imbalance and Returns in International Equity Markets

Zaremba, Adam - 2017

At the global level, the mispricing theory of mergers by Shleifer and Vishny (2003) may imply that a significant number of targets acquired in a given country is a sign of market-wide undervaluation whereas intense acquisition activity indicates overvaluation. The present study develops a...

Persistent link: https://www.econbiz.de/10012968527