Including emerging markets in international momentum investment strategies

Naranjo, Andy; Porter, Burt

doi:10.1016/j.ememar.2007.01.001

Cited by 38 publications

(31 citation statements)

References 14 publications

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“…However, although positive, momentum profits ended up being statistically significant for only one (Chile) out of five (Argentina, Brazil, Chile, Mexico, and Peru) Latin American countries included in the study. A similar outcome is reported by Naranjo and Porter (2007). Their evidence of momentum for emerging markets (excluding Colombia) was not particularly Momentum in the Colombian Stock Market strong because just 5 out of 18 countries in the sample showed a significant winner-minus-loser spread.…”

Section: Returns To a Momentum Strategysupporting

confidence: 81%

“…By and large, these studies document that momentum seems less intense or insignificant in emerging rather than developed countries. Naranjo and Porter (2007) found weak evidence of momentum for emerging markets (excluding Colombia) because, for just 5 out of 18 countries in the sample, the winner-minus-loser spread was statistically significant. Griffin, Ji, and Martin (2003) reported evidence of positive and significant momentum for a sample of 40 developed and emerging countries.…”

Section: Introductionmentioning

confidence: 68%

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Momentum in the Colombian Stock Market

Berggrun

Rausch

2011

Latin American Business Review

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Este documento analiza el desempeño bruto y ajustado por riesgo de portafolios de momentum tras la fusión de las bolsas de valores en Colombia en 2001. Hallamos poca evidencia de retornos de momentum significativos posteriores a la fusión. Se obtienen retornos ajustados por riesgo nulos al estimar dos modelos. Se verifican resultados similares en un periodo previo a la crisis financiera, considerando una frecuencia de datos mayor o un número diferente de portafolios. Atribuimos nuestros hallazgos a la existencia de más emisores y accionistas y a una mayor diseminación de información, lo cual dificulta beneficiarse de estudiar patrones de precios.This article analyzes performance of momentum portfolios under different settings and in terms of raw and risk-adjusted returns after the local stock exchanges in Colombia merged in 2001. We found little evidence of significant momentum returns in the post-merger period. Zero risk-adjusted returns remained after estimating two pricing models. Similar results held in a pre-financial crisis period, considering a higher data frequency or a different number of portfolios. We attribute our findings to increased access to issuers and investors and greater information dissemination in the post-merger period, which overall have made profiting from studying historical price patterns more difficult

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Section: Returns To a Momentum Strategysupporting

confidence: 81%

Section: Introductionmentioning

confidence: 68%

Momentum in the Colombian Stock Market

Berggrun

Rausch

2011

Latin American Business Review

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“…The low correlations between emerging and developed markets are highlighted as the reason for enhanced portfolio performance. Similarly, Naranjo and Porter (2007) find that adding emerging market equities to an international portfolio results in larger diversification benefits when compared to adding developed market equities. Gupta and Donleavy (2008) also show that emerging markets offer diversification benefits; however, they are careful to point out that the gains from such investments are largely determined by common risks in emerging markets, such as foreign exchange risk and political instability.…”

Section: Portfolio Diversification and Foreign Exchange Riskmentioning

confidence: 92%

Emerging markets and portfolio foreign exchange risk: An empirical investigation using a value-at-risk decomposition technique

Sirr

Garvey

Gallagher

2011

Journal of International Money and Finance

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“…Some of the studies on these markets deserve to be discussed here. Rouwenhorst (1999) and Naranjo and Porter (2007) report the presence of momentum profits in emerging stock markets. McInish et al (2008) finds based on past returns that short-term tra strategies are not useful for most of the Pacific Basin markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Presence of Contrarian Profits in the Jordan Stock Market

Elhaj¹,

Chowdhury²

2018

IBR

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Since the late 1980’s academicians have confirmed the presence of various forms of return regularities in stock returns. Two most well-known return regularities are contrarian and momentum profits. This paper – using monthly data for the period 2000 through 2016 – examines the presence of both contrarian profits and their sources in the Jordan stock market. The paper uses the methodology of Lo and MacKinlay (1990) and Jegadeesh and Titman (1995) to examine the presence of contrarian returns as well as the sources of such returns. Unlike other emerging markets where strong contrarian profits are found, Jordan market shows relatively weaker presence of contrarian profits. Moreover, time-series pattern – which is related to specific factors, is considered the main source of contrarian profits.

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Including emerging markets in international momentum investment strategies

Cited by 38 publications

References 14 publications

Momentum in the Colombian Stock Market

Momentum in the Colombian Stock Market

Emerging markets and portfolio foreign exchange risk: An empirical investigation using a value-at-risk decomposition technique

Presence of Contrarian Profits in the Jordan Stock Market

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