حجم، ارزش و تکانه در بازده بازار سهام نوظهور

In this paper, we examine value and momentum effects in 18 emerging stock markets. Using stock level data from January 1990 to December 2011, we find strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe. We investigate size patterns in value and momentum. After forming portfolios sorted on size and book-to-market ratio, as well as size and lagged momentum, we use three well-known factor models to explain the returns for these portfolios based on factors constructed using local, U.S., and aggregate global developed stock markets data. Local factors perform much better, suggesting emerging market segmentation.

There is a considerable empirical research identifying value and momentum effects in the U.S. and other developed equity markets. Despite the fact that emerging stock markets constitute an increasing share of the world equity market, there are fewer empirical studies that investigate value and momentum effects in these markets. Until recently, the development of the empirical literature on cross-sections of stock returns in emerging markets has been hampered by the availability of high quality and comprehensive data. Following the pioneering studies in the 1990s by Bekaert and Harvey (1995), Harvey (1995), and Bekaert et al., 1998a and Bekaert et al., 1998b, several papers have explored various characteristics of emerging stock markets. Studies that have focused and documented the presence of value and momentum effects in emerging equity markets include, for example, those of Fama and French (1998), Griffin et al. (2003), and Rouwenhorst (1999). These studies find that (1) value stocks with higher book equity-to-market equity (B/M) ratios have higher average returns than growth stocks which have low B/M ratios and (2) stocks with large cumulative returns over the past year continue to do better. However, these studies provide no details as to the size patterns in value and momentum effects. The purpose of this paper is twofold. First, we look more closely at the size patterns in value and momentum in the equity market of 18 emerging market countries. Second, we investigate the integration of emerging markets with that of the U.S. equity market. To do so, we try to explain the local cross-sections of value and momentum stock returns using the U.S. factors as well as local factors and compare the performance of local and U.S. factors. We can summarize our four principal finding as follows. First, we confirm the existence of value and momentum effects in emerging markets, providing fresh “out-of-sample” evidence for the results that have been documented in the literature. Second, for emerging markets we find that the value effect is fairly similar across small and large capitalization stocks (henceforth small and big stocks), a finding that is not consistent with what has been reported in developed markets. In contrast, the momentum effect we find in emerging markets is meaningfully larger for small stocks, a result consistent with the findings for developed markets. Third, in line with the findings in developed markets, our empirical evidence for emerging markets indicates that returns associated with value and momentum are negatively correlated. Lastly, in asset pricing tests explaining the returns of portfolios formed based on value and momentum measures, the economic performance of local factors is significantly better than the U.S. factors, suggesting emerging market segmentation. Our market integration results add to the literature which focuses on aggregate market returns (see, for example, Bekaert et al., 2002, and Bekaert and Harvey, 2003). To the best of our knowledge, our paper is the first to construct for the emerging markets the B/M ratio and momentum explanatory factors as well as cross-sections of portfolios formed on these characteristics similar to studies focusing on the U.S. and developed markets (see, for example Fama and French, 1993, Fama and French, 2012 and Griffin, 2002, and Rouwenhorst, 1998). In what follows, we briefly describe the dataset used in this study and our methodology, then we expand upon each of these four results in some detail. We use stock level data from 18 emerging countries available from Datastream from January 1990 to December 2011 and group the countries into three emerging regions: Asia, Latin America, and Eastern Europe. In our asset pricing tests, we try to explain the returns of local size and B/M and size and momentum portfolios typical in the literature. We evaluate the performance using three well-known models. To analyze the degree of market integration between emerging equity markets and the U.S. equity market, we estimate separate regressions using local factors as well as the U.S. factors. We also use the factors calculated using the data from global developed stock markets. The paper is structured as follows. In Section 2 we discuss both our methodology for capturing the expected returns via three widely used asset pricing models and the statistical test that we employ to test for model performance. The data and the variables used are described in Section 3. Our findings are the subject of 4 and 5 concludes our paper.

Emerging stock markets are clearly a significant part of the world portfolio today and therefore more empirical work on the behavior of these markets is needed. Numerous studies have identified important facts about size, value, and momentum effects in the U.S. equity market, as well as in other developed equity markets. Size, value, and momentum effects are a lot less explored for emerging markets. This paper presents results to fill this lacuna by considering stock returns for 18 emerging countries divided into three emerging regions (Asia, Latin America, and Eastern Europe). The paper makes two main contributions. First, we explore the size patterns in value and momentum returns. Second, we form 25 portfolios based on both size and B/M ratio and size and lagged momentum for emerging markets, and try to explain the returns of these portfolios in asset pricing regressions — the CAPM, the Fama–French three-factor model, and Carhart four-factor model. We allow the factors to be calculated using the local, U.S. and Global Developed stock market data. For all the emerging markets studied (i.e., three regions and All-Emerging markets), we find a value effect when we study small and big stocks together. Moreover, the big stock value premia point estimates are slightly larger than small stock value premia and both premia are individually statistically significant. We cannot statistically distinguish between the small and big value premia. This size pattern in emerging market value premia contrasts with results for the U.S. or Global Developed markets where we find that the small stock value premia are statistically and economically larger than the big stock value premia. With the exception of Eastern Europe, we find a momentum effect when we study small and big stocks together. With respect to the size patterns in momentum, small stock momentum premia point estimates exceed that of big stock premia. Moreover, small stock momentum premia are individually statistically significant, whereas the big stock premia are not. These results suggest that emerging market momentum effects are largely driven by small stocks. Momentum effects that decrease with size are a finding consistent with momentum results that have been found to characterize developed equity markets. The finding in the literature that in developed equity markets momentum and value returns are negatively correlated has implications for investors with long investment horizons. We confirm the same finding for emerging equity markets. This is an important market feature because emerging market volatilities are higher and therefore combining negatively correlated value and momentum returns helps reduce this volatility. For our three asset pricing tests, we found disappointing results when trying to explain local returns using the U.S. or Global Developed factors. A degree of capital market segmentation remains, making the economic performance of local factor models so much better relative to either the U.S. or Global Developed factors. We find this result despite a positive trend for global capital market integration over the last few decades that has been documented in the capital markets' literature. Although the cross-sections based on size and B/M ratio are easily rejected even when using local factors, for the size and momentum sorts, the local four-factor models are often successful. For future research, it would be interesting to see whether liquidity characteristics can shed some light on value and momentum returns in emerging equity markets. There is some pioneering work by Lesmond (2005) and Bekaert et al., 2007a and Bekaert et al., 2007b, but no analysis of the relationship between value and momentum returns with liquidity has been provided.