Do the size,value, and momentum factors drive stock returns in emerging markets? |
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| Institution: | 1. Gabelli School of Business, Fordham University, 45 Columbus Avenue, New York, NY 10023;2. Gabelli School of Business, Fordham University, 113 West 60th Street, New York, NY 10023;1. Queens College, City University of New York, New York, USA;2. Clemson University, Clemson, USA;1. School of Management & Economics, Beijing Institute of Technology, 5 South Zhongguancun Street, Beijing 100081, China;2. Johns Hopkins University, 100 N. Charles Street, Baltimore, MD 21201;3. Fordham University, 113 W 60th St., New York, NY 10023;4. The Peter J. Tobin College of Business, St. John''s University, Queens, NY 11439;1. University of Chicago Booth School of Business, United States\n;2. Tuck School of Business, Dartmouth College, United States\n |
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| Abstract: | 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 different markets, and such inter-market comovements increase overtime and during the global financial crisis. |
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