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Where Have the Profits Gone? Market Efficiency and the Disappearing Equity Anomalies in Country and Industry Returns
Zaremba, Adam; Umutlu, Mehmet; Maydybura, Alina - 2021
profitability of the strategies has significantly decreased recently, driven particularly by the disappearance of value and reversal …
Persistent link: https://www.econbiz.de/10013244614
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The Profitability of Following Analyst Recommendations on the Polish Stock Market
Zaremba, Adam - 2015
The profitability of analysts' recommendations is documented in numerous studies from all over the world. However, the … use monthly stock level data from Poland and the sample period is 2004-2013. In order to examine the profitability of … companies deliver better returns than the bottom rated companies. Second, we find that the profitability is particularly …
Persistent link: https://www.econbiz.de/10013033604
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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
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Trading Costs, Short Sale Constraints, and the Performance of Stock Market Anomalies in Emerging Europe
Zaremba, Adam - 2019
, profitability, and issuance effects – delivered significant abnormal returns, the impact of trading costs and short-sale constraints …
Persistent link: https://www.econbiz.de/10012903346
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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
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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
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The Dividend Premium in the CEE Stock Market
Konieczka, Przemyslaw - 2016
We investigate cross-sectional patterns related to dividends in the CEE stock market. We investigate a broad sample of 1153 companies from 11 countries in years 2002-2014. We use sorting and tests based on cross-sectional regression, and apply tests of monotonic relation. The principal findings...
Persistent link: https://www.econbiz.de/10013005682
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Is the Abnormal Post-IPO Underperformance Really Abnormal? The Evidence from CEE Emerging Markets
Zaremba, Adam - 2014
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....
Persistent link: https://www.econbiz.de/10013048355
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Post-IPO Underperformance and the Cross-Section of Stock Returns at the Warsaw Stock Exchange
Zaremba, Adam - 2014
In this paper we propose a new cross-sectional asset pricing model employing a Young-minus-Old (OMY) factor, which accounts for long-run post-IPO underperformance. The OMY factor might be also seen as a measure of market sentiment. We test the model using stock returns from the Warsaw Stock...
Persistent link: https://www.econbiz.de/10013057022
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The January Seasonality and the Performance of Country-Level Value and Momentum Strategies
Zaremba, Adam - 2016
The study examines the turn-of-the-year effect in the country-level value and momentum strategies. We re-examine eight distinct value and momentum strategies within 78 markets in the 1995‑2015 period and we test their performance for the seasonal patterns. We find that during the last 20 years...
Persistent link: https://www.econbiz.de/10012992519