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

Adam Zaremba and Jerzy Nikorowski

Economic Research-Ekonomska Istraživanja, 2019, vol. 32, issue 1, 403-422

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.

Date: 2019
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DOI: 10.1080/1331677X.2018.1545593

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