Extreme Bound Analysis of Emerging Market Stock Market Anomalies: Nothing is Robust

"Extreme Bound Analysis of Emerging Stock Market Anomalies", The Journal of Portfolio Management Winter 2000, 26 (2) 95-103; DOI: https://doi.org/10.3905/jpm.2000.319749

Posted: 19 Jun 2019

Date Written: 2000

Abstract

Studies of emerging stock market anomalies are based on underspecified models. Extreme bound analysis (EBA), a technique to remedy specification bias, indicates that no anomaly is robust, given panel data covering sixteen countries from March 1988 through January 1995. Only under a relaxed decision rule does the author find that five of the fifteen factors studied are sturdy: price/book long-run lagged returns, population demographics, country risk, and relative market size. What is more sobering, time series EBA produces no sturdy aggregate determinants.

Suggested Citation

Durham, J. Benson, Extreme Bound Analysis of Emerging Market Stock Market Anomalies: Nothing is Robust (2000). "Extreme Bound Analysis of Emerging Stock Market Anomalies", The Journal of Portfolio Management Winter 2000, 26 (2) 95-103; DOI: https://doi.org/10.3905/jpm.2000.319749. Available at SSRN: https://ssrn.com/abstract=3402577

J. Benson Durham (Contact Author)

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