 Is there momentum in equity anomalies? Evidence from the Polish emerging marketAdam Zaremba () and Adam Szyszka Research in International Business and Finance, 2016, vol. 38, issue C, 546-564 Abstract: Emerging markets are thought to be a cornucopia of equity anomalies. Yet while markets mature, by learning investors raise the level of market efficiency diminishing the profitability of the existing patterns. Taking the Polish stock market as an example, we offer a viable solution to this tendency – an active asset allocation strategy based on the momentum effect. First, we identify and replicate 100 anomalies in the cross-section of returns. Then, having documented the momentum in their performance, we translate it into a profitable strategy. Going long (short) on the anomalies which performed best (worst) in the past produces significant raw and risk-adjusted returns outperforming a naive benchmark of equal weights of all profitable anomalies. The results are robust to various considerations. Keywords: Momentum; Stock market anomalies; Performance persistence; Investor learning; Emerging markets; Poland; Market efficiency; Return predictability (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:38:y:2016:i:c:p:546-564 DOI: 10.1016/j.ribaf.2016.07.004 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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