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Title:

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

Document type:
Zeitschriftenaufsatz
Author(s):
Hanauer, Matthias X.; Linhart, Martin
Non-TUM Co-author(s):
nein
Cooperation:
-
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
Journal title:
Asia-Pacific Journal of Financial Studies
Journal listet in FT50 ranking:
nein
Year:
2015
Journal volume:
44
Journal issue:
2
Pages contribution:
175-214
Fulltext / DOI:
doi:10.1111/ajfs.12086
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Interdisciplinarity:
Nein
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