Momentum and Mean Reversion on the Bucharest Stock Exchange, 2015–2025

This paper asks whether stocks on the Bucharest Stock Exchange (BVB) exhibit momentum or mean reversion. It uses monthly total returns from 2015 to 2025 for the BET Total Return index, a fixed sample of 13 large stocks and a rule-based universe of the 15 most liquid stocks drawn from 32 companies. The pre-specified main test finds strong cross-sectional momentum: past winners outperformed past losers by 20% to 25% per year. This result survives corrections for multiple testing and holds within sectors; in the broader samples it is not driven by any single stock, and it is unrelated to market movements. At least half of the effect, and its most consistent part, comes from the losers, which underperformed the average stock in eight or nine of the ten years. A diversified portfolio holding all stocks except the bottom 30% earned 28% to 30% per year after estimated trading costs, against 23% for the index, with similar volatility. To test whether this reflects the slower incorporation of news often attributed to less developed markets, we repeat the same tests in Greece, Poland and Germany. The hypothesis is not supported. None of these markets shows a significant momentum or loser effect, and the Romanian loser effect is significantly larger than the German one. Weak mean reversion of the market index and the high returns of concentrated winner portfolios are more tentative findings. The evidence points to features specific to the Romanian market rather than to emerging-market status in general.