An Anatomy of Central and Eastern European Equity Markets

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.