Abstract

http://ssrn.com/abstract=1600023
 
 

References (68)



 
 

Footnotes (36)



 


 



The Cross-Section of Stock Returns in Frontier Emerging Markets


Wilma De Groot


Robeco Asset Management

Juan Pang


Shell Asset Management Company

Laurens Swinkels


Erasmus University Rotterdam (EUR); Norges Bank Investment Management (NBIM)

August 1, 2012

Journal of Empirical Finance, Vol. 19, Issue 5, pp. 796-818.

Abstract:     
We are the first to investigate the cross-section of stock returns in the new emerging equity markets, the so-called frontier emerging markets. Our unique survivorship-bias free data set consists of more than 1,400 stocks over the period 1997 to 2008 and covers 24 of the most liquid frontier emerging markets. The major benefit of using individual stock characteristics is that it allows us to investigate whether return factors that have been documented in developed countries also exist in these markets. We document the presence of economically and statistically significant value and momentum effects, and a local size effect. Our results indicate that the value and momentum effects still exist when incorporating conservative assumptions of transaction costs. Additionally, we show that value, momentum, and local size returns in frontier markets cannot be explained by global risk factors.

Number of Pages in PDF File: 56

Keywords: Alpha, Behavioral finance, Emerging markets, Frontier Markets, Momentum effect, Size effect, Value effect

JEL Classification: F21, F30, G11, G15

Accepted Paper Series


Download This Paper

Date posted: May 13, 2010 ; Last revised: October 7, 2012

Suggested Citation

de Groot, Wilma and Pang, Juan and Swinkels, Laurens, The Cross-Section of Stock Returns in Frontier Emerging Markets (August 1, 2012). Journal of Empirical Finance, Vol. 19, Issue 5, pp. 796-818.. Available at SSRN: http://ssrn.com/abstract=1600023 or http://dx.doi.org/10.2139/ssrn.1600023

Contact Information

Wilma De Groot
Robeco Asset Management ( email )
Rotterdam, 3011 AG
Netherlands
+31 10 224 3107 (Phone)
Juan Pang
Shell Asset Management Company ( email )
Sir Winston Churchilllaan 366h
Rijswijk, 2285 SJ
Netherlands
Laurentius (Laurens) Adrianus Petrus Swinkels (Contact Author)
Erasmus University Rotterdam (EUR)
Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands
Norges Bank Investment Management (NBIM) ( email )
Bankplassen 2
P.O. Box 1179 Sentrum
Oslo, NO-0107
Norway
Feedback to SSRN


Paper statistics
Abstract Views: 4,874
Downloads: 1,044
Download Rank: 10,344
References:  68
Footnotes:  36

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.328 seconds