The Momentum Effect in Latin American Emerging Markets
AbstractWe find that momentum strategies yield profits in Latin American emerging markets. Both stock type and country play a major role in explaining the momentum effect in these markets, but stock type is much more important. For risk-averse investors, winner portfolios stochastically dominate loser portfolios in these markets, implying that there are no asset-pricing models consistent with risk-averse investors that can rationalize the momentum effect. The results obtained via the bootstrap procedure without replacement also uphold this conclusion.
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Bibliographic InfoArticle provided by M.E. Sharpe, Inc. in its journal Emerging Markets Finance and Trade.
Volume (Year): 43 (2007)
Issue (Month): 4 (August)
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Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=111024
bootstrap tests; emerging markets; momentum; stochastic dominance;
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