Tests of Equity Market Anomalies for Select Emerging Markets

Sanjay Sehgal, Srividya Subramaniam and Florent Deisting

The International Journal of Business and Finance Research, 2014, vol. 8, issue 3, 27-46

Abstract: The study tests prominent equity market anomalies for six emerging markets - Brazil, China, India, Indonesia, South Korea and South Africa. We find that using the Fama French model (FFM) as performance benchmark the size anomaly is present in India, South Korea and Brazil, value anomaly in South Korea and South Africa, momentum in India and South Africa, mild reversals in Brazil, liquidity anomaly in South Korea and South Africa, profitability anomaly in Brazil and South Africa, accruals anomaly in South Africa and stock repurchases anomaly in India and South Africa. Stock issues anomaly does not pose a challenge to asset pricing for sample markets. The four factor liquidity augmented FFM is a better descriptor of asset pricing compared to CAPM and FFM only in the Indian context. The Fama French model seems to be an appropriate performance benchmark for other sample emerging markets. South Africa seems to be the most exciting destination for portfolio managers followed by Brazil, South Korea and India. The research is relevant for global portfolio managers who indulge in international diversification as well as for policy makers who are looking for long-term economic cooperation and greater financial integration among these markets.

Keywords: CAPM; Fama French Model; Emerging Markets; Market Anomalies; International Diversification (search for similar items in EconPapers)
JEL-codes: C51 C52 G12 G14 G15 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Working Paper: Tests Of Equity Market Anomalies For Select Emerging Markets (2014)
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