The low price effect on the Polish market

Artikel

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: e-Finanse: Financial Internet Quarterly ; ISSN: 1734-039X ; Volume: 10 ; Year: 2014 ; Issue: 1 ; Pages: 69-85 ; Rzeszów: University of Information Technology and Management

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading
• Thema: low price effect ; Warsaw Stock Exchange ; Polish market ; stock market anomaly

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Zaremba, Adam ; Żmudziński, Radosław
• Ereignis: Veröffentlichung
• (wer): University of Information Technology and Management
• (wo): Rzeszów
• (wann): 2014

Weitere Informationen

• Handle: http://hdl.handle.net/10419/147094
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ