Anomalies on the capital markets from the former communist European countries

Abstract

The anomalies on the capital markets represent patterns in financial asset returns that are not predicted by a central theory or paradigm. This study made an inventory of the most important anomalies initially identified for the US capital market, in the context of the capital markets from the former communist European countries. Further, this study emphasizes the implications of the presence of these anomalies on the asset pricing models for the analyzed capital markets. Also, this paper presents some methodological issues concerning the identification of capital market anomalies.

Keywords

• anomaly
• CAPM
• capital markets from the former communist European countries