Performance Persistence in Anomaly Returns: Evidence from Frontier Markets

Adam Zaremba ()

Emerging Markets Finance and Trade, 2020, vol. 56, issue 12, 2852-2873

Abstract: This study aims to explore the performance persistence of frontier market equity anomalies. To this end, I replicate 140 anomalies in the cross-section of returns in a sample of 23 frontier markets. I demonstrate a robust and strong performance persistence in the anomaly returns. The return persistence is driven by two independent components related to past short- and long-term returns. These components reflect short-term momentum and cross-sectional variation in long-term anomaly returns, respectively. Combining the two components forms an efficient anomaly selection strategy.

Date: 2020
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DOI: 10.1080/1540496X.2019.1605594

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