Premie za wartość, wielkość i momentum na rynkach Europy Środkowo-Wschodniej

• Autorzy: Przemysław Konieczka , Adam Zaremba

Warianty tytułu

Value, Size and Momentum Effects on the CEE Markets

• Języki publikacji: PL

Abstrakty

The study investigates characteristics and sources of value, size and momentum premiums on the stock CEE markets. The paper broadens the academic knowledge in three ways. First, we deliver out-of-sample evidence for very high value and size premiums, but we detect almost no momentum anomaly. Second, we demonstrate that the value and size factors strengthen each other, but it is not true in the case of combinations with the momentum effect. Finally, we find that only the value effect survives the simultaneous impact of CEE markets' illiquidity and transaction costs. The size and momentum premiums become nonexistent. We analyze companies from 11 countries between 2000 and 2013. (abstrakt oryginalny)

EN

Celem artykułu jest analiza charakterystyk i źródeł premii za wielkość, wartość i momentum na rynkach akcji w Europie Środkowej i Wschodniej. Zaprezentowane badanie poszerza stan wiedzy naukowej na trzy sposoby. Po pierwsze, wyniki obliczeń dostarczają świeże dowody na istnienie bardzo wysokich premii za wartość i wielkość na rynkach CEE oraz podważają istnienie efektu momentum. Po drugie, zademonstrowane zostaje, że efekty wielkości i wartości wzmacniają się nawzajem, natomiast efekt momentum ma tendencję do osłabiania pozostałych czynników. Po trzecie, rezultaty badań wskazują, że jedynie premia za wartość funkcjonuje po uwzględnieniu jednoczesnego wpływu kosztów transakcyjnych i ograniczeń płynności charakterystycznych dla rynków CEE. Efekty wielkości oraz momentum praktycznie przestają istnieć. Badanie bazuje na notowaniach spółek z 11 państw Europy Środkowo-Wschodniej w latach 2000-2013. (original abstract)

Słowa kluczowe

PL

Analiza techniczna; Analiza techniczna akcji; Wskaźniki giełdowe

EN

Technical analysis; Shares technical analysis; Stock market indices

• Czasopismo: Studia Ekonomiczne / Polska Akademia Nauk. Instytut Nauk Ekonomicznych
• Rocznik: 2014
• Numer: nr 3 (82)
• Strony: 333--360

Twórcy

autor

Przemysław Konieczka

• Szkoła Główna Handlowa w Warszawie

autor

Adam Zaremba

• Uniwersytet Ekonomiczny w Poznaniu

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