Do emerging markets with consistent returns have better future performance?

Boyce Watkins

Quantitative Finance, 2006, vol. 6, issue 5, 411-422

Abstract: Using monthly data for 25 emerging markets around the world, it is found that emerging markets with recently consistent stock returns tend to have future returns that continue in the same direction. The effects are long-lived for negative consistency, and imply that capital flows are much more sensitive to market downturns than market upturns. Additionally, the longer a market has had consistently negative (positive) stock returns, the more negative (positive) are future returns. These results serve as confirmation that the consistency effects of Grinblatt and Moskowitz [J. Finan. Econ., 2004, forthcoming] and Watkins [J. Behav. Finan., 2003, 4, 1-32] exist in emerging markets around the world.

Keywords: Emerging markets; Consistent stock returns; Future returns (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1080/14697680600699845

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