Do the size, value, and momentum factors drive stock returns in emerging markets?

Nusret Cakici, Yi Tang and An Yan

Journal of International Money and Finance, 2016, vol. 69, issue C, 179-204

Abstract: This paper investigates the size, value, and momentum effects in 18 emerging stock markets during the period 1990–2013. We find that size and momentum strategies generally fail to generate superior returns in emerging markets. The value effect exists in all markets except Brazil, and it is robust to different periods and market conditions. Value premiums tend to move positively together across different markets, and such inter-market comovements increase overtime and during the global financial crisis.

Keywords: Emerging markets; Cross-sectional stock returns; Market comovements (search for similar items in EconPapers)
JEL-codes: F21 F65 G12 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:69:y:2016:i:c:p:179-204

DOI: 10.1016/j.jimonfin.2016.06.001

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