MOMENTUM DECOMPOSITION: EVIDENCE FROM EMERGING MARKETS
Journal Title: Asian Economic and Financial Review - Year 2017, Vol 7, Issue 2
Abstract
To explain the reason why momentum effect in emerging markets is much weaker than that in developed markets. We divide the traditional momentum returns into intra-style momentum and inter-style momentum effect on the basis of style investing. According to the result, intra-style momentum effect spreads widely in all of the twelve emerging markets, as the primary driving factor for the overall momentum effect. Besides, the inter-style momentum strategy has distinct property in all kinds of markets, leading to the poor performance of momentum strategy in some markets. It is also discovered in the cross-section regression that in emerging markets, the style-adjusted firm-specific return is in evidently positive correlation with the future stock return, but the relationship between the style return and future stock return is uncertain.
Authors and Affiliations
Hongbo Guo*| School of Economics and Management, University of the Chinese Academy of Sciences, Beijing, China, Xianhua Wei| School of Economics and Management, University of the Chinese Academy of Sciences, Beijing, China
AN EXPLORATION ON THE BUSINESS MODEL OF SOCIAL ENTERPRISES OWNED BY CHINESE ENTREPRENEURS IN TAIWAN
This study aims to explore the business models of the social enterprises owned by Chinese entrepreneurs and tries to construct a business model. In order to overcome the shortcomings of a lack of objective verification i...
ESTIMATE OF POVERTY LINE AND ANALYZE OF POVERTY INDICES IN IRAN (1982-2007)
The purpose of this paper is to answer this question that if poverty status regarding various indices follow similar trends during the war between Iran and Iraq and developmental plans for urban and rural areas in Iran i...
ANALYSIS OF THE CONTAGION EFFECT TO THE CREDIT DERIVATIVE VALUATION
This study explores a credit derivative pricing model with counterparty risk and the contagion effect. To compare with the standard credit derivative pricing model, we analyze the counterparty risk and the contagion effe...
Driving Forces of Globalization in Emerging Market Economies Developing Countries
The paper will deal mainly with the macroeconomics of globalization (trade andfinance), but before proceeding, a final distinction needs to be drawn betweenglobalization and liberalization. Developing countries themselve...
MODERN TRENDS OF DEVELOPMENT OF FINANCIAL MARKETS IN GEORGIA
During the last decades, financial markets have undergone multiple changes. Along with the globalization of markets, more rapid growth of the markets of derived securities, changes of corporation ownership structures and...