further to improve the price-based strategies while the strongest anomaly has been identified among the growth companies. We … hypothesize that the reverse character of the low-price anomaly may be explained by the impact of another phenomena: the …

performance persistence in the anomaly returns. The return persistence is driven by two independent components related to past …-term anomaly returns, respectively. Combining the two components forms an efficient anomaly selection strategy …

with the new model and also the traditional, well-established models such as CAPM and the Fama-French three-factor model …. The CAPM and F-F models are rejected, while our model explains the returns well. Additionally, wedeliver fresh out …-of-sample evidence for the long-term underperformance of initial public offerings in Poland. The anomaly is particularly strong among the …