Momentum Decomposition: Evidence from Emerging Markets

Asian Economic and Financial Review

关键词: Momentum effect;    Style investing;    Firm-specific momentum;    Stock returns;    Emerging market;    Return decomposition.;   

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

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.

【 授权许可】

CC BY