This article examines cross-sectional asset-pricing methods based on value, size, and momentum on the Central and Eastern European (CEE) markets. It highlights the unique role of microcap equities. The analysis is based on stock-level data for 11 countries within the period from April 2001 to...

The profitability of analysts' recommendations is documented in numerous studies from all over the world. However, the evidence from the Polish market is relatively modest. The primary aim of this study is to fill this gap. The paper contributes to the economic literature in four ways. First, it...

The answer to the question posed in the title is mostly yes. Using sorting and crosssection, we investigate the impact of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia, Czech Republic, Estonia, Hungary, Latvia, Lithuania,...

The financialization of commodity markets has recently become a broadly discussed phenomenon, but its implications for commodity investors to a large extent remain unknown. This article focuses on whether the potential benefits of passive investment strategies in the commodity futures markets...

The study concentrates on the benefits of passive commodity investments in the context of the phenomenon of financialization. The research investigates the implications of increase in the correlation coefficients between equity and commodity investments for investors in financial markets. The...

Recent empirical evidence has shown that the relationship between idiosyncratic volatility and a stock's expected return depends on the pricing of the stock: it is negative among overvalued stocks and positive among undervalued ones. We provide both theoretical and numerical evidence that this...

We explore the country and industry size effects by decomposing market value into four components: short-term return, representing momentum; long-run return, representing reversal; composite issuance; and lagged market value. We examine the implications of this decomposition for the country and...

Using 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...

Prospect theory implies that assets with positively skewed returns should be traded at premium to assets with negative skewness. We hypothesize that in the integrated financial markets this concept should also hold for the entire country equity portfolios. This article examines the linkages...

No, it is not. Using sorting, cross-sectional tests, regression, and tests of a monotonic relation, we investigate the long-run post-IPO performance and its sources in the Central and Eastern European (CEE) markets. We examine over 1100 stocks from 11 CEE countries for the period 2002-2014....