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The Momentum Effect in Latin American Emerging Markets

Listed author(s):
  • Luis Muga
  • Rafael Santamaría

We 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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File URL: http://mesharpe.metapress.com/link.asp?target=contribution&id=H138327TRT0J1278
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Article provided by M.E. Sharpe, Inc. in its journal Emerging Markets Finance and Trade.

Volume (Year): 43 (2007)
Issue (Month): 4 (August)
Pages: 24-45

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Handle: RePEc:mes:emfitr:v:43:y:2007:i:4:p:24-45
Contact details of provider: Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=111024

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