Do the Size, Value, and Momentum Factors Drive Stock Returns in Emerging Markets?

47 Pages Posted: 4 Feb 2016 Last revised: 6 Jun 2016

See all articles by Nusret Cakici

Nusret Cakici

Fordham University

Yi Tang

Fordham University - Gabelli School of Business

An Yan

Fordham University - Gabelli School of Business

Date Written: January 1, 2016

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 co-movements increase overtime and during the global financial crisis.

Keywords: Emerging markets, cross-sectional stock returns, market comovements

JEL Classification: F21, F65, G12, G15

Suggested Citation

Cakici, Nusret and Tang, Yi and Yan, An, Do the Size, Value, and Momentum Factors Drive Stock Returns in Emerging Markets? (January 1, 2016). Available at SSRN: https://ssrn.com/abstract=2727257 or http://dx.doi.org/10.2139/ssrn.2727257

Nusret Cakici (Contact Author)

Fordham University ( email )

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

Yi Tang

Fordham University - Gabelli School of Business ( email )

113 West 60th Street
New York, NY 10023
United States

An Yan

Fordham University - Gabelli School of Business ( email )

113 West 60th Street
New York, NY 10023
United States
212-636-7401 (Phone)
212-765-5573 (Fax)

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