Premie za wartość, wielkość i momentum na rynkach Europy Środkowo-Wschodniej
Value, size and momentum effects on the CEE markets

Summary/Abstract: The study investigates characteristics and sources of value, size and momentum premiums on the stock CEE markets. The paper broadens the academic knowledge in three ways. First, we deliver out-of-sample evidence for very high value and size premiums, but we detect almost no momentum anomaly. Second, we demonstrate that the value and size factors strengthen each other, but it is not true in the case of combinations with the momentum effect. Finally, we find that only the value effect survives the simultaneous impact of CEE markets’ illiquidity and transaction costs. The size and momentum premiums become nonexistent. We analyze companies from 11 countries between 2000 and 2013.

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