IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v55y2019i12p2809-2833.html
   My bibliography  Save this article

(Ab)Normal Returns in an Emerging Stock Market: International Investor Perspective

Author

Listed:
  • Paulina Roszkowska
  • Lukasz K. Langer

Abstract

This article studies the comparative attractiveness of public equity investments in the Polish (emerging) and in the U.S. (advanced) stock markets in the years 2000–2013. Through an original implementation strategy based on several one- and multifactor asset pricing models (APMs), we find that the potential for “beating the market” in the form of abnormal profits is higher in the Polish stock market, specifically related to size and profitability anomalies. The Fama–French five-factor model fares best in an international setting and yields additional monthly abnormal returns of 0.19 pp. An international investor should apply local, rather than global, risk factors to properly assess relative abnormal investment opportunities between markets.

Suggested Citation

  • Paulina Roszkowska & Lukasz K. Langer, 2019. "(Ab)Normal Returns in an Emerging Stock Market: International Investor Perspective," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(12), pages 2809-2833, September.
  • Handle: RePEc:mes:emfitr:v:55:y:2019:i:12:p:2809-2833
    DOI: 10.1080/1540496X.2018.1531241
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2018.1531241
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/1540496X.2018.1531241?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Roszkowska, Paulina & Langer, Lukasz K. & Langer, Piotr B., 2021. "Pension funds and IPO pricing. Evidence from a quasi-experiment," The British Accounting Review, Elsevier, vol. 53(4).
    2. Xiaocui Deng & Xiaojian Su, 2023. "Do Financial Liabilities Matter in “Size Effect”? Evidence from the Chinese A-Share Market," Sustainability, MDPI, vol. 15(4), pages 1-11, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:55:y:2019:i:12:p:2809-2833. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.