Quality investing in CEE emerging markets
Using sorting, cross-sectional tests, regression, and tests of a monotonic relation, the study examines the return patterns related to seven distinct quality characteristics: accruals, bid-ask spread, balance sheet liquidity, profitability, leverage, payout ratio and turnover. The investigation of m...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Vilnius Gediminas Technical University
2014-12-01
|
| Series: | Business, Management and Education |
| Subjects: | |
| Online Access: | http://journals.vgtu.lt/index.php/BME/article/view/3504 |
| _version_ | 1818886511197683712 |
|---|---|
| author | Adam Zaremba |
| author_facet | Adam Zaremba |
| author_sort | Adam Zaremba |
| collection | DOAJ |
| description | Using sorting, cross-sectional tests, regression, and tests of a monotonic relation, the study examines the return patterns related to seven distinct quality characteristics: accruals, bid-ask spread, balance sheet liquidity, profitability, leverage, payout ratio and turnover. The investigation of more than 1.300 stocks from 11 Central and Eastern European countries for the period 2002–2014 documents a strong gross-profitability premium and an inverted liquidity premium. Profitable and not heavily leveraged companies provide a partial hedge against market distress. Finally, the paper proposes quality spreads as a forecasting tool and shows that they have predictive abilities over quality premiums related to leverage, profitability and bid-ask spread. |
| first_indexed | 2024-12-19T16:22:30Z |
| format | Article |
| id | doaj.art-8aa85548a6e746c187bd9638e2900e98 |
| institution | Directory Open Access Journal |
| issn | 2029-7491 2029-6169 |
| language | English |
| last_indexed | 2024-12-19T16:22:30Z |
| publishDate | 2014-12-01 |
| publisher | Vilnius Gediminas Technical University |
| record_format | Article |
| series | Business, Management and Education |
| spelling | doaj.art-8aa85548a6e746c187bd9638e2900e982022-12-21T20:14:26ZengVilnius Gediminas Technical UniversityBusiness, Management and Education2029-74912029-61692014-12-0112210.3846/bme.2014.241Quality investing in CEE emerging marketsAdam Zaremba0Department of Investment and Capital Markets, Poznan University of Economics, al. Niepodleglosci 10, 61-875 Poznan, PolandUsing sorting, cross-sectional tests, regression, and tests of a monotonic relation, the study examines the return patterns related to seven distinct quality characteristics: accruals, bid-ask spread, balance sheet liquidity, profitability, leverage, payout ratio and turnover. The investigation of more than 1.300 stocks from 11 Central and Eastern European countries for the period 2002–2014 documents a strong gross-profitability premium and an inverted liquidity premium. Profitable and not heavily leveraged companies provide a partial hedge against market distress. Finally, the paper proposes quality spreads as a forecasting tool and shows that they have predictive abilities over quality premiums related to leverage, profitability and bid-ask spread.http://journals.vgtu.lt/index.php/BME/article/view/3504cross-section of stock returnsquality investingCEE stock marketCentral and Eastern Europegross profitability premiumliquidity premium |
| spellingShingle | Adam Zaremba Quality investing in CEE emerging markets Business, Management and Education cross-section of stock returns quality investing CEE stock market Central and Eastern Europe gross profitability premium liquidity premium |
| title | Quality investing in CEE emerging markets |
| title_full | Quality investing in CEE emerging markets |
| title_fullStr | Quality investing in CEE emerging markets |
| title_full_unstemmed | Quality investing in CEE emerging markets |
| title_short | Quality investing in CEE emerging markets |
| title_sort | quality investing in cee emerging markets |
| topic | cross-section of stock returns quality investing CEE stock market Central and Eastern Europe gross profitability premium liquidity premium |
| url | http://journals.vgtu.lt/index.php/BME/article/view/3504 |
| work_keys_str_mv | AT adamzaremba qualityinvestinginceeemergingmarkets |