Momentum Factor Performance in Central & Eastern European Equity Markets

Cross-sectional momentum has been one of the most robust and persistent anomalies documented in financial markets. In this paper, we examine whether these effects extend to the less-studied equity markets of Central and Eastern Europe.

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Data and Methodology

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"Momentum returns in CEE markets exhibit distinct seasonal patterns and higher volatility compared to developed market benchmarks, suggesting structural differences in price discovery mechanisms."

Key Findings

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• Cross-sectional momentum generates statistically significant alpha in Polish and Czech equity markets over the 2010-2025 sample period
• Momentum crashes are more severe but less frequent compared to US and European benchmarks
• Combining momentum with value produces superior risk-adjusted returns due to negative factor correlation
• Transaction costs materially reduce but do not eliminate momentum profits in the most liquid CEE names

Market-Level Decomposition

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Implications for Portfolio Construction

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