Value and Momentum in Frontier Emerging Markets

Groot, Wilma de; Pang, Juan; Swinkels, Laurens

doi:10.2139/ssrn.1600023

Cited by 13 publications

(2 citation statements)

References 29 publications

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“…Galariotis (2004) finds the existence of contrarian profits particularly in the short-term in the Athens Stock Exchange returns. De Groot et al (2010) report momentum return of about 1% per month for stocks of 24 frontier stock markets. Cakici et al (2013) consider 18 emerging stock markets and their findings show the presence of momentum profits in all but four Eastern European countries.…”

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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Section: Literature Reviewmentioning

confidence: 99%

Presence of Contrarian Profits in the Jordan Stock Market

Elhaj¹,

Chowdhury²

2018

IBR

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“…Jayasuriya and Shambora (2009) find that U.S. investors would have earned higher risk-adjusted returns if they had invested in five frontier markets, while Speidell and Krohne (2007) show frontier markets have lower correlations with the U.S. equity market (S&P 500) than emerging markets. Frontier market research in other areas includes de Groot et al (2010) who show value and momentum effects prevail in frontier markets. Frontier Benić and Franić (2008) who document the liquidity of the Bulgarian, Croatian, Serbian, and Slovenian stock markets, and Minović andŽivcović (2010, p. 33) who find "illiquidity and liquidity risk significantly impact price formation" in Serbia.…”

Section: Introductionmentioning

confidence: 99%

Liquidity measurement in frontier markets

Marshall

Nguyen

Visaltanachoti

2013

Journal of International Financial Markets, Institutions and Mo

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The Relations Between Momentum, Value Size, And Liquidity Factors And Stock Returns On The Polish Market

Zaremba¹,

Konieczka²

2014

Optimum

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SummaryThe paper examines the relations between selected company characteristics and common stock returns. In the paper, we concentrate on four well-recognized fundamental factors determining stock returns: momentum, value, size and liquidity. First, we review the existing literature in the field. Second, we investigate the relationship between fundamental factors and stock returns on the Polish market. Our computations are based on all companies on the Warsaw Stock Exchange listed in the period 2000-12. Our research provides fresh out-of-sample evidence for momentum, value, size and liquidity premium from the Polish market.

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Value and Momentum in Frontier Emerging Markets

Cited by 13 publications

References 29 publications

Presence of Contrarian Profits in the Jordan Stock Market

Presence of Contrarian Profits in the Jordan Stock Market

Liquidity measurement in frontier markets

The Relations Between Momentum, Value Size, And Liquidity Factors And Stock Returns On The Polish Market

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