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Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?

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  • Lischewski, Judith
  • Voronkova, Svitlana
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    Abstract

    The paper extends the evidence on factors determining stock prices on emerging markets by focusing on the most advanced stock market in Central and Eastern Europe, the Polish market. Besides market, size and value factors, we investigate whether liquidity is a priced risk factor, addressing the hypothesis of its particular relevance in emerging markets. Our results support existing evidence for developed markets regarding market, size, and value factors. Contrary to the expectation that liquidity is a priced factor on emerging markets, we do not find evidence supporting this hypothesis. Analyzing specific market characteristics, we consider possible explanations behind these findings.

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    Bibliographic Info

    Article provided by Elsevier in its journal Emerging Markets Review.

    Volume (Year): 13 (2012)
    Issue (Month): 1 ()
    Pages: 8-25

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    Handle: RePEc:eee:ememar:v:13:y:2012:i:1:p:8-25

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    Web page: http://www.elsevier.com/locate/inca/620356

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    Keywords: Liquidity; Size effect; Value effect; Expected stock returns; Eastern Central European stock markets; Emerging markets;

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    Cited by:
    1. Hamid Reza Vakilifard & Nassim Shahmoradi, 2014. "Investigating the Effects of Stable Profitability and Free Cash Flow on Stock Returns of Companies Listed in Tehran Stock Exchange," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(3), pages 21-27, July.
    2. Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013. "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, Elsevier, vol. 15(C), pages 122-135.
    3. Waszczuk, Antonina, 2013. "A risk-based explanation of return patterns—Evidence from the Polish stock market," Emerging Markets Review, Elsevier, Elsevier, vol. 15(C), pages 186-210.

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