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Are value, size and momentum premiums in CEE emerging markets only illusionary?
Zaremba, Adam; Konieczka, Przemysław - In: Finance a úvěr 65 (2015) 1, pp. 84-104
Persistent link: https://www.econbiz.de/10010481111
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - Fakultät für Wirtschaftswissenschaften, Technische … - 2011
insignifikant (positive) Marktrisikoprämie, eine signifikant negative Größenprämie (Size Premium), eine signifikant positive … Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a …
Persistent link: https://www.econbiz.de/10009372405
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011
insignifikant (positive) Marktrisikoprämie, eine signifikant negative Größenprämie (Size Premium), eine signifikant positive … Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a …
Persistent link: https://www.econbiz.de/10010307494
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Determinants of stock returns: Factors or systematic co-moments? Crisis versus non-crisis periods
Hung, Chi-Hsiou D.; Azad, A.S.M. Sohel; Fang, Victor - In: Journal of International Financial Markets, … 31 (2014) C, pp. 14-29
important role in determining the cross-section of stock returns. Size, value, momentum, and liquidity also exhibit associations … surrounding, and outside of, financial crises. The analysis focuses on the variables of size, book-to-market ratio, momentum …, liquidity, and higher-order systematic co-moments. The evidence reveals that over non-crisis periods the market beta plays an …
Persistent link: https://www.econbiz.de/10010784951
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The Volatility Effect in China
Blitz, David; Hanauer, Matthias X.; van Vliet, Pim - In: Journal of Asset Management 22 (2021) 5, pp. 338-349
This paper shows that low-risk stocks significantly outperform high-risk stocks in the local China A-share market. The main driver of this low-risk anomaly is volatility, and not beta. A Fama–French style VOL factor is not explained by the Fama–French–Carhart factors, and has the strongest...
Persistent link: https://www.econbiz.de/10014501953
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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 …, momentum, and size premiums. Second, we analyzemthe interdependences among the factors. Third, we investigate whether the … value, momentum, and size premiums are to some extent present on the Polish market. Furthermore, they strengthen each other …
Persistent link: https://www.econbiz.de/10011455379
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Foreigners Trading and Price Effects Across Firms
Dahlquist, Magnus; Robertsson, Göran - C.E.P.R. Discussion Papers - 2001
We study the investment behaviour of foreign investors in association with an equity market liberalization, and find a strong link between foreigners' trading and local market returns. In the period following the liberalization, foreigners' net purchases led to a permanent increase in prices, or...
Persistent link: https://www.econbiz.de/10005114153
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Foreigners´ Trading and Price Effects Across Firms
Dahlquist, Magnus; Robertsson, Göran - Institute for Financial Research (SIFR) - 2001
We study the investment behavior of foreign investors in association with an equity market liberalization, and find a strong link between foreigners´ trading and local market returns. In the period following the liberalization, foreigners´ net purchases led to a permanent increase in prices,...
Persistent link: https://www.econbiz.de/10005651559
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Paper profits from value, size and momentum: Evidence from the Polish market
Zaremba, Adam; Konieczka, Przemysław - In: e-Finanse: Financial Internet Quarterly 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 …, momentum, and size premiums. Second, we analyzemthe interdependences among the factors. Third, we investigate whether the … value, momentum, and size premiums are to some extent present on the Polish market. Furthermore, they strengthen each other …
Persistent link: https://www.econbiz.de/10011551459
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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