This study reexamines the long-term reversal anomaly across international stock market indices. We investigate a comprehensive and up-to-date sample of 74 countries for years 1995-2015. By controlling for country-level value, size and momentum effects, we provide convincing evidence that the...

Our study tests and compares 16 distinct country selection strategies based on inter-market value, size, momentum, quality and volatility effects within a sample of 78 countries for the period 1999-2014. By accounting for country-specific dividend tax rates, market liquidity and openness for...

This study investigates the low-price effect on the Polish stock market. By adopting sorting, cross-sectional tests and checks of the monotonic relation, we have examined the performance of the portfolios formed on the prices of over 850 companies listed on the Polish stock market within the...

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...

The aim of this paper is to investigate the impact of the financialization of commodity markets on the profitability of strategies based on momentum and term structure. The performance of an array of portfolios from double-sorts on non-commercial traders' participation, historical returns and...

The paper concentrates on the value premium across countries and contributes to the nvestment and asset pricing literature in three ways. First, I provide fresh evidence that the high-value countries perform significantly better than the low-value countries. Additionally, this phenomenon is...

In this paper we investigate the characteristics of the low price anomaly, which implies higher returns to stocks with low nominal price. The research aims to broaden the academic knowledge in a few ways. First, we deliver some fresh evidence on low price effect from Polish market. Second, we...