Performance Persistence in Anomaly Returns: Evidence from Frontier Markets
Emerging Markets Finance and Trade, Forthcoming
42 Pages Posted: 30 Oct 2017 Last revised: 3 May 2019
Date Written: April 4, 2019
This study aims to explore the performance persistence of frontier market equity anomalies. To this end, I replicate 140 anomalies in the cross-section of returns in a sample of 23 frontier markets. I demonstrate a robust and strong performance persistence in the anomaly returns. The return persistence is driven by two independent components related to past short- and long-term returns. These components reflect short-term momentum and cross-sectional variation in long-term anomaly returns, respectively. Combining the two components forms an efficient anomaly selection strategy.
Keywords: Momentum, Stock Market Anomalies, Performance Persistence, Frontier Markets, Emerging Markets, Market Efficiency, Return Predictability
JEL Classification: G12, G14, G15
Suggested Citation: Suggested Citation