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The study investigates the impact of trading costs and short-sale constraint on the performance of 70 stock market anomalies in Emerging Europe. Over 30 of the replicated strategies - mostly related to value, momentum, technical analysis, profitability, and issuance effects - deliver significant abnormal returns. Nonetheless, the impact of trading costs and short-sale constraint proves largely lethal. After accounting for commissions, bid-ask spreads, company size, weighting method, and short-sale unavailability, only a handful of anomalies remain significantly profitable. The research relies on sorting procedures and cross-sectional tests employed within a sample of over 1800 stocks from Czech Republic, Hungary, Poland, Russia, and Turkey for years 2000-2015.

Trading Costs, Short Sale Constraints, and the Performance of Stock Market Anomalies in Emerging Europe