کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1003042 1481795 2016 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Is there momentum in equity anomalies? Evidence from the Polish emerging market
ترجمه فارسی عنوان
آیا در ناهنجاری حقوق صاحبان سهام شتاب وجود دارد؟ شواهدی از بازار در حال ظهور لهستانی
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
چکیده انگلیسی


• The study investigates the momentum effect in equity anomalies.
• Taking Poland as an example, we identify and replicate 100 equity anomalies.
• The anomalies deteriorate in performance over time.
• There is strong persistence in returns on the equity anomalies.
• Buying (selling short) the top (bottom) anomalies produces significant abnormal returns.

Emerging markets are thought to be a cornucopia of equity anomalies. Yet while markets mature, by learning investors raise the level of market efficiency diminishing the profitability of the existing patterns. Taking the Polish stock market as an example, we offer a viable solution to this tendency – an active asset allocation strategy based on the momentum effect. First, we identify and replicate 100 anomalies in the cross-section of returns. Then, having documented the momentum in their performance, we translate it into a profitable strategy. Going long (short) on the anomalies which performed best (worst) in the past produces significant raw and risk-adjusted returns outperforming a naive benchmark of equal weights of all profitable anomalies. The results are robust to various considerations.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 38, September 2016, Pages 546–564
نویسندگان
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