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Emerging markets: Is the trend still your friend?

C. Mitchell Conover, Gerald R. Jensen, Robert R. Johnson and Andrew C. Szakmary

Global Finance Journal, 2017, vol. 32, issue C, 128-148

Abstract: Using an extensive sample consisting of 30 emerging countries and 38years of data, we examine the profitability of two momentum and two trend following strategies. Over the entire sample, we find excess returns that are economically and statistically significant for all four strategies. Furthermore, we show that the significance of the excess returns remains after adjusting for macroeconomic risk factors. In addition, we find that in spite of their relative neglect, trend strategies frequently demonstrate superior performance, compared to momentum strategies. However, contrary to previous research, we do not find that time series momentum strategies outperform cross-sectional momentum strategies. Finally, we show that the effectiveness of the alternative strategies is largely diminished once transactions costs and liberalizations in emerging markets are considered.

JEL-codes: G15 (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:eee:glofin:v:32:y:2017:i:c:p:128-148