استحکام از اندازه و ارزش تاثیرات در بازارهای سهام در حال ظهور، 1985-2000

We examine the robustness of size and book-to-market effects in 35 emerging equity markets during 1985–2000. Mean returns for high book-to-market firms significantly exceed mean returns for low book-to-market firms. These findings are robust to tests that control for size effects and that remove extreme returns. Similarly, mean returns for small firms exceed mean returns for large firms. But, the firm size results lack robustness to the removal of extreme returns. Moreover, significant size effects are found in tests that define firm size relative to the local market average, but generally are not found in tests that use absolute firm size. Our findings are confirmed by cross-sectional regressions that control for systematic risk at the global and local levels.

Fama and French, 1992, Fama and French, 1996 and Fama and French, 1998 examine a number of securities markets and show that the common stocks of small firms generally provide higher mean returns than do the stocks of large firms and that stocks with low market price compared to book value, earnings, dividends, or cash flow generally outperform those at the opposite end of the value scale. These empirical observations are known as the firm size (or ‘size’) and book-to-market equity (‘BE/ME’ or ‘value’) effects. The work of Fama and French, and of others who have addressed size and BE/ME issues, challenges the validity of the Capital Asset Pricing Model (CAPM) because under the CAPM the only risk factor that affects the expected return of a security is the security's systematic risk, commonly measured by beta. Size and BE/ME effects are anomalies relative to the CAPM. Accordingly, the validity of size and BE/ME effects (as well as other empirical anomalies) is a controversial issue in empirical finance.1 The validity of size and BE/ME effects has been questioned by a number of scholars.2 One approach has been to ask whether the effects hold generally or if they sample-specific; for example, Black (1993) and MacKinlay (1995) raise these issues. Early evidence on the size and BE/ME effects relied on Compustat-based samples. Davis (1994) provides evidence consistent with the value and size factors based on data that predates the Compustat tapes. Kim (1997) finds value and size effects remain after testing a sample that includes all non-Compustat firms. Fama and French (1998) address the sample-specific nature of their results by studying global equity markets. They provide evidence on 13 developed countries over 1975–1995 and find statistically significant BE/ME and other value effects in 12 of them.3 They also examine data on 16 emerging markets. They point out that security returns in emerging markets are generally leptokurtic and right skewed, so they stress that statistical inference can be ‘hazardous.’ Nevertheless, they conclude that the evidence is generally consistent with the existence of value effects based on the BE/ME measure. They note that equity portfolios with low BE/ME outperformed high BE/ME portfolios in 12 of the 16 countries they examined.4 Evidence on size in their sample is less pronounced (differences in returns across extreme size portfolios are less than two standard deviations from zero). Patel (1998) and Rouwenhorst (1999) support the findings of Fama and French (1998) by finding a premium for value stocks and small firms in emerging markets. Hart et al. (2001) also report a significant value effect as well as momentum and earnings revision effects in emerging markets, and they find that these strategies could be implemented in practice by large investors even after considering the practical difficulties and costs of trading in emerging markets. However, they find no significant firm size effect, and the direction of the effect changes when they impose a minimum capitalization requirement.5Achour et al., 1998, Achour et al., 1999a, Achour et al., 1999b and Achour et al., 1999c provide a comprehensive examination of stock selection strategies based on fundamental, expectation and technical factors within Mexico, South Africa and Malaysia.6 In their 1998 paper, they find strong value effects in South Africa and Malaysia. No value effects are found in Mexico. Their value factors include BE/ME, trailing earnings yield, prospective earnings yield and cash earnings-to-price yield. Claessens et al., 1993, Claessens et al., 1995 and Claessens et al., 1998 also examine market anomalies in emerging markets.7 They find that portfolio returns in most of the markets are non-normal and that beta is generally insignificant in explaining returns. They observe inconsistent size effects and conclude that the size effect does not seem to prevail in emerging markets to the degree that it has in developed markets. They find evidence of strong BE/ME effects, but the direction of the effect is often the reverse of Fama and French, 1998, Patel, 1998, Rouwenhorst, 1999 and Hart et al., 2001 and of earlier work on developed markets.8Fama and French (1998) point out that the differences may be due to the different sample periods used, but is more likely due to the different methodologies employed and the effects of outliers. Shumway (1997) and Shumway and Warther (1999) examine the bias in returns caused by omitting the post-delisting returns of stocks that are delisted for negative performance reasons from the NYSE or NASDAQ. Shumway (1997) finds that delisting has especially important effects on size-based returns but not on book-to-market-based returns for NYSE stocks. Shumway and Warther (1999) find that the size effect disappears entirely from NASDAQ data when they correct for the delisting bias. They conclude, ‘Consequently, there is no evidence that there ever was a size effect among Nasdaq stocks.’ (Shumway and Warther (1999, p. 2378). A similar argument is made in Bossaerts and Fohlin (2000) in their study of German stocks over the period 1881–1913. They observe a size effect within the German data, but they argue the effect is likely caused by selection bias. It disappears later in their sample. Moreover, they find a BE/ME effect, but they point out that the direction of the effect is opposite the effect observed in recent US data (i.e. in their sample, growth stocks outperform value stocks). Controversy remains over the existence and importance of size and book-to-market effects in financial markets. In this paper, we provide new evidence about the size and BE/ME effects in emerging market returns. We perform a comprehensive analysis, focusing on the robustness of the estimated premiums for size and BE/ME, and use a more extensive sample than has been used in prior work on emerging markets. Our sample uses data over a 15-year period from 35 emerging markets; previous tests of size and value effects have been limited to 10 years of data and examine one market at a time. Because of the high volatility of emerging markets, it is especially important to examine longer sample periods. We also provide evidence based on a variety of empirical methods designed to overcome concerns raised about the methodologies used in earlier tests. We perform our tests on portfolios, which lessens the effects of outliers. We provide evidence based on standard t-tests, but we also conduct non-parametric statistics that are unaffected by non-normality in the data. We use: univariate portfolio tests; multivariate portfolio tests (portfolios based on one factor are formed within portfolios based on the other factor); tests including all data vs. tests excluding extreme returns; tests on subperiods within the entire sample period and that control for seasonality effects; tests based on cross-sectional returns (with and without the extreme returns) before and after controlling for beta risk relative to local and global markets; and tests employing relative as well as absolute size measures. Thus, we provide a comprehensive set of results designed to examine the robustness of the conclusions we can reach regarding size and value effects in emerging markets. We find evidence of a strong and persistent book-to-market effect in which mean returns for high book-to-market (value) firms significantly exceed mean returns for low book-to-market (growth) firms. These findings hold consistently across parametric and non-parametric tests that examine book-to-market independently and that control for firm size. Similarly, when defining firm size relative to local market average size, mean returns for small firms significantly exceed mean returns for large firms. The results are not driven by January effects. Our findings hold after controlling for book-to-market effects using parametric tests, but the results using non-parametric tests are mixed. When using absolute firm size, the firm size premium often disappears. Our findings are confirmed by cross-sectional regressions that control for systematic risk at the global and domestic levels. We re-examine all results after omitting observations with returns in the upper or lower 1% tails of the distribution of returns. This approach addresses the concerns of Fama and French (1998) with outliers. In univariate and multivariate portfolio tests with extreme returns removed, we continue to find strong BE/ME effects, but the size effects are appreciably diminished or missing altogether. Our results consistently point to a robust BE/ME effect in emerging markets with and without extreme returns. The size effect is generally present when measuring size in terms relative to a firm's local market, and when extreme returns are included, but is generally not observable if extreme returns are omitted, or if size is measured in absolute terms. Therefore, our findings provide important out-of-sample evidence of a return premium for value stocks. The robustness of our results, combined with results of studies on other markets, demonstrates that value effects persist around the world and that BE/ME partially explains differences in average returns. These results are particularly important because the BE/ME factor also has been shown to explain covariation among stocks in various markets and has been used to proxy for distress risk.9 Thus, the BE/ME factor appears to pass the robust acid test for inclusion in multifactor pricing models. The plan of the paper is as follows. In Section 2 we identify the data sources used in the study and present an overview of the properties of the sample. Section 3 provides results based on analyses of portfolios formed on the basis of only one factor at a time. Section 4 presents results for portfolios formed jointly on the basis of size and BE/ME. Section 5 describes results of our cross-sectional regression tests. Section 6 provides results in which absolute size is used rather than relative size. Section 7 summarizes the results of the paper.

This paper provides new and important evidence on size and book-to-market value (BE/ME) effects by examining data from emerging capital markets. Our tests offer an out-of-sample investigation of the importance of size and value factors as determinants of subsequent portfolio returns. Our approach differs from existing research by focusing on the robustness of the results. We examine US dollar-denominated stock returns over the 1985–2000 period for stocks listed in the 35 emerging equity markets for which data were available from the Standard and Poor's Emerging Markets Data Base. We provide various tests for the effects of the size and value factors. Earlier work has led to differences in results based on methodology. Earlier work has also shown that returns in emerging markets are non-normal and has suggested that results may be sensitive to extreme returns. Accordingly, we examine size and value effects using a variety of methods. A difference between our work and that of earlier researchers is that we perform tests employing measures of size and BE/ME defined relative to each firm's local market average. The use of relative measures facilitates the aggregation of data across markets instead of being limited to examining data on a market-by-market basis. The use of relative BE/ME is motivated by the fact that accounting systems differ widely across emerging markets. For instance, accounting standards in some emerging markets specifically address inflation in the measurement of book values and some do not. Accordingly, a given BE/ME ratio may have a very different interpretation in one market than in another. The use of relative BE/ME addresses that concern. The use of relative size is motivated by considerations of whether the emerging markets that we study are fully integrated with global capital markets. If not, and if there is nevertheless a size effect within markets, the use of absolute size could obscure the size effect. On the other hand, if emerging markets are fully integrated with global markets, then size is size and we would recommend the use of an absolute size measure. Our results point to a robust BE/ME effect that is not driven by extreme returns in emerging markets. The size effect is not robust to removal of extreme returns for emerging market equities. BE/ME effects were pervasive through: parametric tests; non-parametric tests; and after controlling for size, outliers and local and global systematic risk. Additional tests indicate a lack of a size effect when absolute rather than relative size is used. Size and value factors have generated a great deal of research interest in recent years. Emerging markets provide a distinct setting in which to develop new evidence about the factors. The results presented here add to the body of knowledge about these factors and their roles in security returns. These results weaken arguments that BE/ME effects may be due to data mining in the US market. But they do not resolve once and for all the issues that they address: They raise a number of issues that remain for future research. One of them is the extent to which size effects are associated with the degree of integration of emerging markets with developed markets. Jensen et al. (1997) find that size and value effects depend heavily on the monetary policy stance of the Federal Reserve: e.g. small firm and high BE/ME effects are significant only in expansive monetary policy periods. Since emerging markets tend to have changes in direction of economic policy that are more extreme than in developed markets, these changes could presumably explain some of the extreme returns. This is particularly relevant for emerging markets in which extreme returns constitute over 25% of the total return. Are small, large, value, or growth stocks affected more or differently by these shifts than are other firms? To what extent are emerging market equity returns and investment style shifts predictable? To what extent can multi-factor models be used to enhance emerging market portfolio returns? Relatively little is known about the effects that portfolio flows have upon extreme returns in emerging markets. There is a tendency for foreign investors to prefer holding the stocks of larger firms in emerging markets since information is usually more readily available and they have greater liquidity. Do those factors interact in affecting the extreme returns? Do they perform in a systematic way, i.e. do they tend to cause unusually positive or negative outcomes for particular classes of securities? This paper has examined an important database of emerging market equities to determine whether size and book-to-market effects are present in those markets. The evidence strongly supports the presence of a book-to-market effect of the same kind as in other markets (i.e. the so-called ‘value’ stocks tend to outperform ‘growth’ stocks), but the evidence is considerably weaker regarding a size effect. We look forward to subsequent research that sheds light on the economic forces that underlie our findings and implications.