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

被引：25

作者：

Cakici, Nusret ^{[1
]}

Tang, Yi ^{[1
]}

Yan, An ^{[2
]}

机构：

[1] Fordham Univ, Gabelli Sch Business, 45 Columbus Ave, New York, NY 10023 USA

[2] Fordham Univ, Gabelli Sch Business, 113 West 60th St, New York, NY 10023 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2016年 / 69卷

关键词：

Emerging markets; Cross-sectional stock returns; Market comovements; EXPECTED RETURNS; CROSS-SECTION; RISK; STRATEGIES; TIME; PROFITABILITY; EXPLANATIONS; OVERREACTION; INTEGRATION; EFFICIENCY;

D O I：

10.1016/j.jimonfin.2016.06.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 differentmarkets, and such inter-market comovements increase overtime and during the global financial crisis. (C) 2016 Elsevier Ltd. All rights reserved.

引用

页码：179 / 204

页数：26

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