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Titel:

Size, Value, and Momentum in Emerging Market Stock Returns: Integrated or Segmented Pricing?

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Hanauer, Matthias X.; Linhart, Martin
Nicht-TUM Koautoren:
nein
Kooperation:
-
Abstract:
In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions—Latin America, EMEA, Asia, and BRIC. We document a strong and highly significant value effect, and a strong but less significant momentum effect. Substantial value and momentum premiums are also present for big stocks and the overall premiums are not mainly driven by small stocks. Furthermore, the value patterns in emerging markets are more pronounced than in developed markets. In or...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Asia-Pacific Journal of Financial Studies
Journal gelistet in FT50 Ranking:
nein
Jahr:
2015
Band / Volume:
44
Heft / Issue:
2
Seitenangaben Beitrag:
175-214
Volltext / DOI:
doi:10.1111/ajfs.12086
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Interdisziplinarität:
Nein
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