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

See all articles by Adam Zaremba

Adam Zaremba

Poznań University of Economics and Business; University of Dubai

Date Written: April 4, 2019

Abstract

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

Zaremba, Adam, Performance Persistence in Anomaly Returns: Evidence from Frontier Markets (April 4, 2019). Emerging Markets Finance and Trade, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3060876 or http://dx.doi.org/10.2139/ssrn.3060876

Adam Zaremba (Contact Author)

Poznań University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

University of Dubai ( email )

Academic City
Dubai, 14143
United Arab Emirates

HOME PAGE: http://adamzaremba.pl/

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