Share Issuance and Expected Returns Around the World

Zaremba, Adam; Okoń, Szymon

doi:10.2139/ssrn.2619415

Search citation statements

Order By: Relevance

Paper Sections

Select...

Examined Portfolios and Anomalies1

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2015

2018

Publication Types

Select...

Article3

Book1

Relationship

Self Cite1

Independent3

Authors

Journals

Cited by 4 publications

(1 citation statement)

References 54 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Many stock-level studies prove that average returns are negatively related to the past net and gross stock issuance ((36), e.g., Daniel and Titman (2006), Fama and French (2008), Pontiff and Woodgate (2008)). Zaremba and Okoń (2016) provided convincing evidence for the successful performance of this phenomenon across national equity indices.…”

Section: Examined Portfolios and Anomaliesmentioning

confidence: 79%

The momentum effect in country-level stock market anomalies

Zaremba

2018

Economic Research-Ekonomska Istraživanja

Self Cite

View full text Add to dashboard Cite

The paper investigates the momentum effect in country-level anomalies in global equity markets. By using a sample of 78 countries for the period from 1995 to 2015, we test a set of potential 40 crosssectional inter-market anomalies, some of which had never been examined before. Based on the findings, according to which half of these return patterns serve as reliable and robust sources of returns, we provide convincing evidence that the anomalies with good performance over the past 6-12 months tend to outperform in the future. Furthermore, returns on individual country-level strategies are weakly correlated. Consequently, developing a portfolio consisting of past top-performing strategies may constitute a valuable approach for international investors.

show abstract