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Size, value, and momentum in emerging market stock returns

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  • Cakici, Nusret
  • Fabozzi, Frank J.
  • Tan, Sinan

Abstract

In this paper, we examine value and momentum effects in 18 emerging stock markets. Using stock level data from January 1990 to December 2011, we find strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe. We investigate size patterns in value and momentum. After forming portfolios sorted on size and book-to-market ratio, as well as size and lagged momentum, we use three well-known factor models to explain the returns for these portfolios based on factors constructed using local, U.S., and aggregate global developed stock markets data. Local factors perform much better, suggesting emerging market segmentation.

Suggested Citation

  • Cakici, Nusret & Fabozzi, Frank J. & Tan, Sinan, 2013. "Size, value, and momentum in emerging market stock returns," Emerging Markets Review, Elsevier, vol. 16(C), pages 46-65.
  • Handle: RePEc:eee:ememar:v:16:y:2013:i:c:p:46-65
    DOI: 10.1016/j.ememar.2013.03.001
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    More about this item

    Keywords

    Emerging equity markets; Value effect; Momentum effect; Fama–French three-factor model; Carhart four-factor model;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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