THE LOW PRICE EFFECT ON THE POLISH MARKET
Journal Title: e-Finanse - Year 2014, Vol 10, Issue 1
Abstract
In this paper we investigate the characteristics of the low price anomaly, which implies higher returns to stocks with a low nominal price. The research aims to broaden academic knowledge in a few ways. Firstly, we deliver some fresh evidence on the low price effect from the Polish market. Secondly, we analyze the interdependence between the low price effect and other return factors: value, size and liquidity. Thirdly, we investigate whether the low price effect is present after accounting for liquidity. Fourthly, we check to see whether the low price effect is robust to transaction costs. The paper is composed of three main sections. In the beginning, we review the existing literature. Next, we present the data sources and research methods employed. Finally, we discuss our research findings. Our computations are based on all the stocks listed on the Warsaw Stock Exchange (WSE) in the years 2003-2013. We have concluded that the low price effect is present on the Polish market, although the statistical significance is very weak and it disappears entirely after accounting for transaction costs and liquidity.
Authors and Affiliations
Adam Zaremba, Radosław Żmudziński
Keywords
Related Articles
- EP ID EP99627
- DOI -
- Views 120
- Downloads 0
COMPARISON OF SEMI-PARAMETRIC AND BENCHMARK VALUE-AT-RISK MODELS IN SEVERAL TIME PERIODS WITH DIFFERENT VOLATILITY LEVELS
In the literature, there is no consensus as to which Value-at-Risk forecasting model is the best for measuring market risk in banks. In the study an analysis of Value-at-Risk forecasting model quality over varying econom...
Selection and assortment of the variables describing the relationship between the economy and the general government sector size by application of the LEM2 algorithm
This paper reverses the relatively frequent examined interrelation that links an impact of the public sector (and within it the general government sector) on the economy of the analyzed countries. The article analyses wh...
ACCOUTING AND MARKETING DIMENSIONS OF INNOVATIONS
Innovations are an important, although imprecise conceptual category. They are perceived differently depending on the accepted scientific perspective. The article verifies the concept of innovation in terms of marketing...
The Attractiveness of Polish Cities for Attracting Outsourcing and the Analysis of Benefits for the Region
In western countries outsourcing has been an integral part of many enterprises for a long time. In Poland it is increasingly seen as a part of a long-term development strategy. Although Poland is only beginning to mark i...
CHALLENGES FOR CENTRAL BANKS IN A CHANGING PAYMENTS LANDSCAPE
The aim of the paper is to discuss key challenges facing central banks due to evolution of payment systems. The author distinguishes two aspects of the problem. The first one considers the implications of changes in paym...