The cross-section of stock returns in frontier emerging markets

Wilma de Groot, Juan Pang and Laurens Swinkels

Journal of Empirical Finance, 2012, vol. 19, issue 5, 796-818

Abstract: We are the first to investigate the cross-section of stock returns in the new emerging equity markets, the so-called frontier emerging markets. Our unique survivorship-bias free data set consists of more than 1400 stocks over the period 1997 to 2008 and covers 24 of the most liquid frontier emerging markets. The major benefit of using individual stock characteristics is that it allows us to investigate whether return factors that have been documented in developed countries also exist in these markets. We document the presence of economically and statistically significant value and momentum effects, and a local size effect. Our results indicate that the value and momentum effects still exist when incorporating conservative assumptions of transaction costs. Additionally, we show that value, momentum, and local size returns in frontier markets cannot be explained by global risk factors.

Keywords: Alpha; Emerging markets; Frontier markets; Momentum effect; Size effect; Value effect (search for similar items in EconPapers)
JEL-codes: F21 F30 G11 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (42)

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Working Paper: The Cross-Section of Stock Returns in Frontier Emerging Markets (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:19:y:2012:i:5:p:796-818

DOI: 10.1016/j.jempfin.2012.08.007

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