An Anatomy of Central and Eastern European Equity Markets

81 Pages Posted: 29 Jul 2015

See all articles by Lieven Baele

Lieven Baele

Tilburg University - Department of Finance

Geert Bekaert

Columbia Business School - Finance and Economics

Larissa Schäfer

Frankfurt School of Finance & Management

Date Written: July 28, 2015

Abstract

This paper provides a comprehensive and detailed analysis of Central and Eastern European (CEE) equity markets from the mid-1990s until now. Using firm-level data and custom-made indices and indicators, we show that (1) there is considerable heterogeneity in the degree, dynamics, and determinants of market development across the different markets, (2) that especially the smaller markets still offer diversification benefits to global investors, and (3) that there are substantial premiums associated with investing in small, value, low volatility and illiquid CEE stocks.

Keywords: Central and Eastern Europe, Financial Integration, Equity Market Development, International Diversification, Correlation Dynamics, Cross-Sectional Strategies, Parametric Portfolio Choice

JEL Classification: F00, F03, G00, G01, O01

Suggested Citation

Baele, Lieven and Bekaert, Geert and Schäfer, Larissa, An Anatomy of Central and Eastern European Equity Markets (July 28, 2015). Columbia Business School Research Paper No. 15-71. Available at SSRN: https://ssrn.com/abstract=2636900 or http://dx.doi.org/10.2139/ssrn.2636900

Lieven Baele

Tilburg University - Department of Finance ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands
+31 13 466 3257 (Phone)
+31 13 466 2875 (Fax)

Geert Bekaert

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
United States

Larissa Schäfer (Contact Author)

Frankfurt School of Finance & Management ( email )

Sonnemannstraße 9-11
Frankfurt am Main, 60314
Germany

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