Are Value, Size and Momentum Premiums in CEE Emerging Markets Only Illusionary?

The answer to the question posed in the title is mostly yes. Using sorting and crosssection, we investigate the impact of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, Slovakia and Slovenia) for the years 2000–2013. We find very high value and size premiums and strong synergy effects between value and momentum strategies. However, the impact of illiquidity and transaction costs is almost lethal. After accounting for varying bid-ask spreads and liquidity, only the value premium survives. The size and momentum effects get obliterated

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Year of publication:	2015
Authors:	Zaremba, Adam
Other Persons:	Konieczka, Przemyslaw (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Osteuropa \| Eastern Europe \| Schwellenländer \| Emerging economies \| Kapitaleinkommen \| Capital income \| Betriebsgröße \| Firm size

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