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Trading costs, short sale constraints, and the performance of stock market anomalies in Emerging Europe

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  • Adam Zaremba
  • Jerzy Nikorowski

Abstract

The study has investigated the impact of trading costs and short-sale constraints on the performance of 70 stock market anomalies in Emerging Europe. While over 30 of the replicated strategies – mostly related to value, momentum, technical analysis, profitability, and issuance effects – delivered significant abnormal returns, the impact of trading costs and short-sale constraints proved truly lethal to most strategies. Once we accounted for commissions, bid-ask spreads, company size, weighting method, and short-sale unavailability, only a handful of anomalies remain significantly profitable. Our research relied on sorting procedures and cross-sectional tests applied to a sample of over 1,800 stocks from the Czech Republic, Hungary, Poland, Russia and Turkey in the years 2000 to 2015.

Suggested Citation

  • Adam Zaremba & Jerzy Nikorowski, 2019. "Trading costs, short sale constraints, and the performance of stock market anomalies in Emerging Europe," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 32(1), pages 403-422, January.
    • Handle: RePEc:taf:reroxx:v:32:y:2019:i:1:p:403-422
    DOI: 10.1080/1331677X.2018.1545593
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    Cited by:

    1. Dongcheol Kim & Byeung‐Joo Lee, 2023. "Shorting costs and profitability of long–short strategies," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 277-316, March.

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