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Is there momentum in equity anomalies? Evidence from the Polish emerging market

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  • Zaremba, Adam
  • Szyszka, Adam

Abstract

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.

Suggested Citation

  • Zaremba, Adam & Szyszka, Adam, 2016. "Is there momentum in equity anomalies? Evidence from the Polish emerging market," Research in International Business and Finance, Elsevier, vol. 38(C), pages 546-564.
    • Handle: RePEc:eee:riibaf:v:38:y:2016:i:c:p:546-564
    DOI: 10.1016/j.ribaf.2016.07.004
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    Cited by:

    1. Fan, Minyou & Li, Youwei & Liu, Jiadong, 2018. "Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches," Research in International Business and Finance, Elsevier, vol. 46(C), pages 131-140.
    2. Tomasz Wójtowicz, 2017. "High-volume return premium on the stock markets in Warsaw and Vienna," Bank i Kredyt, Narodowy Bank Polski, vol. 48(4), pages 375-402.
    3. Zaremba, Adam & Shemer, Jacob, 2018. "Is there momentum in factor premia? Evidence from international equity markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 120-130.
    4. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, November.
    5. Vo, Xuan Vinh & Truong, Quang Binh, 2018. "Does momentum work? Evidence from Vietnam stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 17(C), pages 10-15.
    6. Zaremba, Adam, 2017. "Performance persistence of government bond factor premia," Finance Research Letters, Elsevier, vol. 22(C), pages 182-189.

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    More about this item

    Keywords

    Momentum; Stock market anomalies; Performance persistence; Investor learning; Emerging markets; Poland; Market efficiency; Return predictability;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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