The main objective of this study is to examine the role of quality as a determinant of a cross-sectional variation in country-level stock returns. The study attempts to address the question: Is there any special premium for top-quality stock markets with decent profitability, indebtedness and...

Assessing and pricing country risk poses a considerable challenge to tactical asset allocation across national equity markets. This research examines the relationship between the country composite risk (together with its component risks related to: sovereign credit, currency, banking sector,...

The study examines the turn-of-the-year effect in the country-level value and momentum strategies. We re-examine eight distinct value and momentum strategies within 78 markets in the 1995‑2015 period and we test their performance for the seasonal patterns. We find that during the last 20 years...

The present study provides a risk-based explanation for the country-level size and value effects. The research demonstrates that the small-country effect is fully explained by cross-sectional variation in the country risk. Furthermore, accounting for the country risk decreases the alphas on...

This study provides convincing evidence that stock markets with low capitalisation, low valuation ratios and high momentum tend to outperform country markets with high capitalisation, high valuation ratios and low momentum. Based on sorting procedures and cross-sectional tests conducted across...

This article examines cross-sectional asset-pricing methods based on value, size, and momentum on the Central and Eastern European (CEE) markets. It highlights the unique role of microcap equities. The analysis is based on stock-level data for 11 countries within the period from April 2001 to...

The profitability of analysts' recommendations is documented in numerous studies from all over the world. However, the evidence from the Polish market is relatively modest. The primary aim of this study is to fill this gap. The paper contributes to the economic literature in four ways. First, it...

The answer to the question posed in the title is mostly yes. Using sorting and crosssection, we investigate the impact of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia, Czech Republic, Estonia, Hungary, Latvia, Lithuania,...

Recent empirical evidence has shown that the relationship between idiosyncratic volatility and a stock's expected return depends on the pricing of the stock: it is negative among overvalued stocks and positive among undervalued ones. We provide both theoretical and numerical evidence that this...

We explore the country and industry size effects by decomposing market value into four components: short-term return, representing momentum; long-run return, representing reversal; composite issuance; and lagged market value. We examine the implications of this decomposition for the country and...