Digesting anomalies in emerging European markets: A comparison of factor pricing models

Adam Zaremba () and Anna Czapkiewicz

Emerging Markets Review, 2017, vol. 31, issue C, 1-15

Abstract: This study compares the performance of four popular factor pricing models—the capital asset-pricing model (Sharpe, 1964), the three-factor model of Fama and French (1993), the four-factor model of Carhart (1997), and the five-factor model of Fama and French (2015a)—testing their explanatory power over a broad range of cross-sectional return patterns in emerging European markets. We identify, classify, and replicate 100 anomalies documented in the financial literature. Only 20 (32) of the capitalization-weighted (equal-weighted) anomaly portfolios are significantly profitable. We show that the five-factor model best explains the returns of anomaly portfolios and verify its superiority over the other models.

Keywords: Asset pricing; Factor models; Anomalies; Emerging European markets; Emerging markets; Cross section of returns; Size; Value; Momentum; Profitability; Asset growth (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:31:y:2017:i:c:p:1-15

DOI: 10.1016/j.ememar.2016.12.002

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