Anomalies in Emerging Markets: The Case of Mexico

50 Pages Posted: 5 Feb 2019

See all articles by Polux Diaz Ruiz

Polux Diaz Ruiz

Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration

Renata Herrerias

Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration

Aurelio Vasquez

Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration

Date Written: January 19, 2019

Abstract

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

Suggested Citation

Diaz Ruiz, Polux Ernesto and Herrerias, Renata and Vasquez, Aurelio, Anomalies in Emerging Markets: The Case of Mexico (January 19, 2019). Available at SSRN: https://ssrn.com/abstract=3318827 or http://dx.doi.org/10.2139/ssrn.3318827

Polux Ernesto Diaz Ruiz

Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration ( email )

Rio Hondo No. 1
Col. Tizapan-San Angel, 01000
Mexico

Renata Herrerias

Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration ( email )

Rio Hondo No. 1
Progreso Tizapan
Mexico, D.F. 01080
Mexico
+52(55)56284000 x. 6535 (Phone)

HOME PAGE: http://departamentodeadministracion.itam.mx/es

Aurelio Vasquez (Contact Author)

Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration ( email )

Rio Hondo No. 1
Col. Tizapan-San Angel, 01000
Mexico

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