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The Low Price Effect On The Polish Market

Author

Listed:
  • Adam Zaremba

    (Poznan University of Economics)

  • Rados³aw ¯mudziñski

    (Poznan University of Economics)

Abstract

In this paper we investigate the characteristics of the low price anomaly, which implies higher returns to stocks with a low nominal price. The research aims to broaden academic knowledge in a few ways. Firstly, we deliver some fresh evidence on the low price effect from the Polish market. Secondly, we analyze the interdependence between the low price effect and other return factors: value, size and liquidity. Thirdly, we investigate whether the low price effect is present after accounting for liquidity. Fourthly, we check to see whether the low price effect is robust to transaction costs. The paper is composed of three main sections. In the beginning, we review the existing literature. Next, we present the data sources and research methods employed. Finally, we discuss our research findings. Our computations are based on all the stocks listed on the Warsaw Stock Exchange (WSE) in the years 2003-2013. We have concluded that the low price effect is present on the Polish market, although the statistical significance is very weak and it disappears entirely after accounting for transaction costs and liquidity.

Suggested Citation

  • Adam Zaremba & Rados³aw ¯mudziñski, 2014. "The Low Price Effect On The Polish Market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 10(1), pages 69-85, June.
    • Handle: RePEc:rze:efinan:v:10:y:2014:i:1:p:69-85
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    References listed on IDEAS

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    Cited by:

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    3. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, July.

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    More about this item

    Keywords

    low price effect; Warsaw Stock Exchange; Polish market; stock market anomaly Least Squares Method;
    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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