Anomalies in Emerging Markets: The Case of Mexico
50 Pages Posted: 5 Feb 2019
Date Written: January 19, 2019
In this paper we explore the relationship between 19 of the most common anomalies reported for the US market and the cross-section of Mexican stock returns. We find that one-month stock returns in Mexico are only predicted by 5 of the 19 anomalies: size, momentum, idiosyncratic volatility, lottery-effect, and profitability. Size, momentum and profitability have a positive relation with future 1-month returns, while idiosyncratic volatility and the lottery effect have a negative relation. For longer horizons of 3 and 6 months, only size (with a negative sign) and momentum continue to predict returns.
Keywords: cross section of stock returns, anomalies, asset pricing, market efficiency
JEL Classification: G12, G15
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