Low Price Effect on the Polish Market

Financial Internet Quarterly „e-Finanse” 2014, vol. 10, no, 1, pp. 69-85

17 Pages Posted: 5 Jan 2014 Last revised: 10 May 2016

See all articles by Adam Zaremba

Adam Zaremba

Poznań University of Economics and Business; University of Dubai

Radosław Żmudziński

Poznan University of Economics

Date Written: January 4, 2014

Abstract

In this paper we investigate the characteristics of the low price anomaly, which implies higher returns to stocks with low nominal price. The research aims to broaden the academic knowledge in a few ways. First, we deliver some fresh evidence on low price effect from Polish market. Second, we analyze the interdependence between the low price effect and other return factors: value, size and liquidity. Third, we investigate if the low price effect is present after accounting for liquidity. Fourth, we check 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 WSE in years 2003-2013. We have that the low price effect is present on the Polish, although the statistical significance is very weak and it disappears entirely after accounting for transaction costs and liquidity.

Keywords: low price effect, Warsaw Stock Exchange, Polish market, stock market anomaly

JEL Classification: G11, G12, G14

Suggested Citation

Zaremba, Adam and Żmudziński, Radosław, Low Price Effect on the Polish Market (January 4, 2014). Financial Internet Quarterly „e-Finanse” 2014, vol. 10, no, 1, pp. 69-85. Available at SSRN: https://ssrn.com/abstract=2374694 or http://dx.doi.org/10.2139/ssrn.2374694

Adam Zaremba (Contact Author)

Poznań University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

University of Dubai ( email )

Academic City
Dubai, 14143
United Arab Emirates

HOME PAGE: http://adamzaremba.pl/

Radosław Żmudziński

Poznan University of Economics ( email )

Poland

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