Size, Value, and Momentum in Emerging Market Stock Returns

40 Pages Posted: 30 May 2012 Last revised: 11 Sep 2012

See all articles by Nusret Cakici

Nusret Cakici

Fordham University

Frank J. Fabozzi

EDHEC Business School

Sinan Tan

Fordham University - Gabelli School of Business

Date Written: April 15, 2012

Abstract

In this paper, we examine value and momentum effects in 18 emerging stock markets. Using stock level data from January 1990 to December 2011, we find strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe. We investigate size patterns in value and momentum. After forming portfolios sorted on size and book-to-market ratio, as well as size and lagged momentum, we use three well-known factor models to explain the returns for these portfolios based on factors constructed using local, U.S., and aggregate global developed stock markets data. Local factors perform much better, suggesting emerging market segmentation.

Suggested Citation

Cakici, Nusret and Fabozzi, Frank J. and Tan, Sinan, Size, Value, and Momentum in Emerging Market Stock Returns (April 15, 2012). Fordham University Schools of Business Research Paper No. 2070832. Available at SSRN: https://ssrn.com/abstract=2070832 or http://dx.doi.org/10.2139/ssrn.2070832

Nusret Cakici

Fordham University ( email )

Fordham University
Graduate School of Business
New York, NY 10023
United States
2126366776 (Phone)

Frank J. Fabozzi

EDHEC Business School ( email )

France
215 598-8924 (Phone)

Sinan Tan (Contact Author)

Fordham University - Gabelli School of Business ( email )

113 West 60th Street
Bronx, NY 10458
United States

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