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...

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...

This study aims to explore the performance persistence of frontier market equity anomalies. To this end, I replicate 140 anomalies in the cross-section of returns in a sample of 23 frontier markets. I demonstrate a robust and strong performance persistence in the anomaly returns. The return...

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 –...

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....

Practitioners and academics often consider IPO activity as a gauge of investor optimism and market valuation. This study investigates the cross-sectional implications of this concept at the country level. We use sorting and cross-sectional tests to examine linkages between past share issuance...

We investigate the pricing of systematic tail risk measured by tail beta in the Chinese equity market. Using an array of tests, we examine the performance of more than 3,300 stocks for the years 1999 through 2018. Contrary to evidence from developed markets, we demonstrate a strong negative...