The Momentum Effect in Latin American Emerging Markets

Luis Muga and Rafael Santamaría

Emerging Markets Finance and Trade, 2007, vol. 43, issue 4, 24-45

Abstract: We find that momentum strategies yield profits in Latin American emerging markets. Both stock type and country play a major role in explaining the momentum effect in these markets, but stock type is much more important. For risk-averse investors, winner portfolios stochastically dominate loser portfolios in these markets, implying that there are no asset-pricing models consistent with risk-averse investors that can rationalize the momentum effect. The results obtained via the bootstrap procedure without replacement also uphold this conclusion.

Keywords: bootstrap tests; emerging markets; momentum; stochastic dominance (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (13)

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