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Quality Investing in CEE Emerging Markets
Business, Management and Education, 2014-12, Vol.12 (2), p.159-180
[Peer Reviewed Journal]
Copyright Vilnius Gediminas Technical University 2014 ;ISSN: 2029-7491 ;EISSN: 2029-6169 ;DOI: 10.3846/bme.2014.241
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Title:
Quality Investing in CEE Emerging Markets
Author:
Zaremba, Adam
Subjects:
Balance sheets
;
Book value
;
CEE stock market
;
Central and Eastern Europe
;
Credit ratings
;
cross-section of stock returns
;
Economy
;
Emerging markets
;
gross profitability premium
;
liquidity premium
;
Profits
;
quality investing
;
Return on assets
;
Securities markets
;
Statistical analysis
;
Stock exchanges
;
Stock prices
;
Studies
Is Part Of:
Business, Management and Education, 2014-12, Vol.12 (2), p.159-180
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.
Publisher:
Vilnius: Vilnius Gediminas Technical University
Language:
English;Lithuanian
Identifier:
ISSN: 2029-7491
EISSN: 2029-6169
DOI: 10.3846/bme.2014.241
Source:
CEEOL: Open Access
Alma/SFX Local Collection
ROAD: Directory of Open Access Scholarly Resources
DOAJ Directory of Open Access Journals
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