Size, value and liquidity: Do they really matter on an emerging stock market?
Judith Lischewski and
Svitlana Voronkova
No 10-070, ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research
Abstract:
The paper extends the evidence on the factors relevant for pricing stocks in emerging markets. While previous literature focused on Latin American and Asian developing markets, Central and Eastern European markets remain under-researched. By focusing on the Polish stock market, we aim to fill in a gap in the asset pricing literature and draw attention to these previously overlooked markets. In addition to analyzing the importance of the most prominent risk-factors such as market, size and book-to-market value, we investigate whether liquidity plays a role in pricing Polish stocks. To test this conjecture we use the largest array of liquidity measures that has been used in the literature to date. We take advantage of a hand-collected dataset covering the longest period studied so far in case of the this market. Our results support existing evidence for developed markets with regard to the market, size, and book-to-market factor. However, in contrast to studies on other emerging markets, we do not find convincing evidence in favour of the liquidity risk premium on the Polish stock market. This result is robust across various liquidity measures and time periods. Analyzing specific characteristics of the Polish market, we consider possible explanations behind this finding.
JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-fmk, nep-rmg and nep-tra
References: Add references at CitEc
Citations: View citations in EconPapers (5)
Downloads: (external link)
https://www.econstor.eu/bitstream/10419/41434/1/636381676.pdf (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:zbw:zewdip:10070
Access Statistics for this paper
More papers in ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().