MIĘDZYRYNKOWE PREMIE ZA WARTOŚĆ, WIELKOŚĆ I MOMENTUM NA GIEŁDACH AKCJI
INTER-COUNTRY VALUE, SIZE AND MOMENTUM PREMIUMS ACROSS THE STOCK MARKETS
Author(s): Adam Zaremba, Przemysław KonieczkaSubject(s): Economy, Supranational / Global Economy, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: value premium; size premium; momentum effect; cross-section of stock returns; international financial markets;
Summary/Abstract: The study examines the characteristics of inter-country value, size and momentum premiums. We contribute to the asset-pricing literature in two ways. First, we deliver evidence on value, size and momentum premiums across countries. Second, we demonstrate, that the country-level value, size and momentum premiums tend to strengthen each other in double-sorted portfolios. We investigate stock markets in 66 countries 2000 and 2013.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XV/2014
- Issue No: 4
- Page Range: 246-255
- Page Count: 10
- Language: Polish