Momentum Decomposition: Evidence from Emerging Markets
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Keywords

Momentum effect, Style investing, Firm-specific momentum, Stock returns, Emerging market, Return decomposition.

How to Cite

Guo, H. ., & Wei, X. . (2016). Momentum Decomposition: Evidence from Emerging Markets. Asian Economic and Financial Review, 7(2), 123–132. https://doi.org/10.18488/journal.aefr/2017.7.2/102.2.123.132

Abstract

To explain the reason why momentum effect in emerging markets is much weaker than that in developed markets. We divide the traditional momentum returns into intra-style momentum and inter-style momentum effect on the basis of style investing. According to the result, intra-style momentum effect spreads widely in all of the twelve emerging markets, as the primary driving factor for the overall momentum effect. Besides, the inter-style momentum strategy has distinct property in all kinds of markets, leading to the poor performance of momentum strategy in some markets. It is also discovered in the cross-section regression that in emerging markets, the style-adjusted firm-specific return is in evidently positive correlation with the future stock return, but the relationship between the style return and future stock return is uncertain.

https://doi.org/10.18488/journal.aefr/2017.7.2/102.2.123.132
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