Prior Return Patterns in Sector Returns: Evidence for Emerging Markets

Sehgal, Sanjay; Jain, Sakshi

doi:10.5296/ajfa.v4i1.1560

Cited by 6 publications

(3 citation statements)

References 78 publications

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“…This characteristic is in conformity with the behavioural model where investors overreact to particular incidents and underreact to public information signals. Our finding shows that momentum profit decreases when both formation period and holding period increase (Hon and Tonks, 2001;Jegadeesh and Titman, 1993;Sehgal, Jain, la Morandiere and Porteu, 2013). This gives a signal that the momentum profit in the Indian market may be due to its trending trajectory as India is a rising market in the global economy.…”

Section: Empirical Results For the Brazilian Stock Market And Performmentioning

confidence: 49%

Accounting analyses of momentum and contrarian strategies in emerging markets

Nnadi

Tanna

2017

Asia-Pacific Journal of Accounting & Economics

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We analyse the momentum and contrarian effects of stock markets in Brazil, Russia, India, China and South Africa (BRICS) using accounting data. The five markets show different characteristics with the Indian market having the strongest momentum effect. Stock markets in China and Brazil show significant short-term contrarian profit and intermediate to longterm momentum profit while South Africa shows short-term momentum effect and intermediate to long-term contrarian effect. The Russian stock market reveals largely insignificant momentum portfolio returns. We also find evidence that the contrarian profits in South Africa and China are caused by relatively high loser returns while positive momentum profit in India results from relatively high winner returns.

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Section: Empirical Results For the Brazilian Stock Market And Performmentioning

confidence: 49%

Accounting analyses of momentum and contrarian strategies in emerging markets

Nnadi

Tanna

2017

Asia-Pacific Journal of Accounting & Economics

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“…In addition to these, momentum profits were also observed in Australian (Hurn & Pavlov, 2003), Spanish (Forner & Marhuenda, 2003), Italian (Mengoli, 2004), Honk Kong (Cheng & Wu, 2010) and Chinese (Wu, 2011) stock markets suggesting global presence of momentum profitability. As far as the Indian stock market is concerned, strong momentum profits were observed by Sehgal and Balakrishnan (2002), Ansari and Khan (2012), Sehgal and Jain (2012), Dhankar and Maheshwari (2014) and Maheshwari and Dhankar (2015).…”

Section: Review Of Literaturementioning

confidence: 99%

The Effect of Global Crises on Momentum Profitability: Evidence from the Indian Stock Market

Maheshwari

Dhankar

2017

Vision: The Journal of Business Perspective

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There is a plethora of research that suggests profitability of momentum strategies in international stock markets. The current study adds to the existing literature by exploring the same in the Indian stock market over the more recent years. In addition, the study aims to test whether the momentum strategy performs persistently and remains consistent even during financial crises periods, emphasizing on the recent global meltdown of 2008. Eight momentum strategies were investigated with different combinations of formation and holding period and the study adds convincing evidence in favour of Indian momentum profitability. Statistically as well as economically significant momentum returns were observed that remained statistically significant even after risk adjustment. However, the financial crisis induced significant changes in the Indian momentum profitability. The momentum returns were observed to be positively high during pre-crisis period that turn negative during crisis period and again reverse to generate high momentum returns during the post-crisis period. The evidence indicates non-stability of momentum profits wherein momentum strategies crash during the financial crises periods.

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“…Value effect has also been a significant anomaly found in international literature (Fisher et al, 2016; Leite et al, 2018; Nartea et al, 2009; Sehgal et al, 2012). Fisher et al (2016) reveal that the combined momentum and value strategy performs better than the individual strategies.…”

Section: Introductionmentioning

confidence: 97%

Examining Asset Pricing Anomalies: Evidence from Europe

Pandey¹,

Joshi

2021

Business Perspectives and Research

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We examine five important asset pricing anomalies, namely, size, value, momentum, profitability, and investment rate to evaluate their efficacy in major West European economies, that is, France, Germany, Italy, and Spain. We employ four prominent asset pricing models, namely Capital Asset Pricing Model (CAPM), Fama–French three-factor (FF3) model, Carhart model and Fama–French five-factor (FF5) model to evaluate whether portfolio managers can create trading strategies to generate risk-adjusted extra normal returns for their investors. We also examine the prominent anomalies which pass the test of asset pricing in our sample countries and evaluate the best performing asset pricing model in explaining returns in each of these countries. We find that in spite of being matured markets, these countries provide portfolio managers with opportunities to exploit these strategies to generate extra normal returns for their investors. Momentum anomaly for Germany and profitability anomaly for Italy can be exploited by fund managers for generating risk-adjusted returns. For France, except for net investment rate anomaly, all the other anomalies remained unexplained by asset pricing models. We also find CAPM to be the better model in explaining returns of Italy and Spain. While FF3 factor and FF5 factor models explain returns in Germany, our sample asset pricing models failed to work for France. Our study has implications for portfolio managers, academia, and policymakers.

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Prior Return Patterns in Sector Returns: Evidence for Emerging Markets

Cited by 6 publications

References 78 publications

Accounting analyses of momentum and contrarian strategies in emerging markets

Accounting analyses of momentum and contrarian strategies in emerging markets

The Effect of Global Crises on Momentum Profitability: Evidence from the Indian Stock Market

Examining Asset Pricing Anomalies: Evidence from Europe

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