Size, value, and momentum in emerging market stock returns

Nusret Cakici, Frank Fabozzi () and Sinan Tan

Emerging Markets Review, 2013, vol. 16, issue C, 46-65

Abstract: In this paper, we examine value and momentum effects in 18 emerging stock markets. Using stock level data from January 1990 to December 2011, we find strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe. We investigate size patterns in value and momentum. After forming portfolios sorted on size and book-to-market ratio, as well as size and lagged momentum, we use three well-known factor models to explain the returns for these portfolios based on factors constructed using local, U.S., and aggregate global developed stock markets data. Local factors perform much better, suggesting emerging market segmentation.

Keywords: Emerging equity markets; Value effect; Momentum effect; Fama–French three-factor model; Carhart four-factor model (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (104)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:16:y:2013:i:c:p:46-65

DOI: 10.1016/j.ememar.2013.03.001

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