Original scientific paper

https://doi.org/10.1080/1331677X.2018.1545593

Trading costs, short sale constraints, and the performance of stock market anomalies in Emerging Europe

Adam Zaremba orcid.org/0000-0001-5879-9431 ; Poznan University of Economics and Business, Poznan, Poland
Jerzy Nikorowski ; BGŻ BNP Paribas, Warsaw, Poland

Abstract

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–delivered significant abnormal returns, the impact of trading costs and short-sale constraints proved truly lethal to most strategies. Once we accounted for commissions, bid-ask spreads, company size, weighting method, and short-sale unavailability, only a handful of anomalies remain significantly profitable. Our research relied on sorting procedures and cross- sectional tests applied to a sample of over 1,800 stocks from the Czech Republic, Hungary, Poland, Russia and Turkey in the years 2000 to 2015.

Keywords

equity anomalies; trading costs; short-sale constraints; liquidity; emerging stock markets; cross section of stock returns

Hrčak ID:

228579

URI

https://hrcak.srce.hr/228579

Publication date:

22.1.2019.

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