 The cross-section of returns in frontier equity markets: Integrated or segmented pricing?Adam Zaremba (adam.zaremba@ue.poznan.pl) and Alina Maydybura Emerging Markets Review, 2019, vol. 38, issue C, 219-238 Abstract: Is asset pricing segmented or integrated in frontier equity markets? To answer this question, we examine the returns on more than 4500 stocks from 22 frontier countries for the years 1997–2018. We evaluate the performance of a few major asset pricing models. We document strong value and momentum effects but find no consistent evidence regarding size, investment, and profitability premia. The recent six-factor model of Fama and French (2018) outperforms other models and best explains the cross-sectional and time-series variation in returns. Our results point to low integration of frontier equities, even after the global financial crisis. Local risk factors explain the behavior of prices much better than their global counterparts do. The low correlation of these risk factors allows augmenting the efficient frontier of an international investor. Keywords: Frontier equity markets; Factor models; Asset pricing; Stock market integration and segmentation; The cross-section of returns; Size; Value; Momentum; Profitability; Investment (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:38:y:2019:i:c:p:219-238 DOI: 10.1016/j.ememar.2019.02.003 Access Statistics for this article Emerging Markets Review is currently edited by Jonathan A. Batten More articles in Emerging Markets Review from Elsevier |
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