The cross-section of returns in frontier equity markets: Integrated or segmented pricing?
Adam Zaremba , Alina Maydybura
AbstractIs asset pricing segmented or integrated in frontier equity markets? To answer this question, we examine the returns on more than 4500 stocks from 22 frontier countries for the years 1997–2018. We evaluate the performance of a few major asset pricing models. We document strong value and momentum effects but find no consistent evidence regarding size, investment, and profitability premia. The recent six-factor model of Fama and French (2018) outperforms other models and best explains the cross-sectional and time-series variation in returns. Our results point to low integration of frontier equities, even after the global financial crisis. Local risk factors explain the behavior of prices much better than their global counterparts do. The low correlation of these risk factors allows augmenting the efficient frontier of an international investor.
|Journal series||Emerging Markets Review, ISSN 1566-0141, e-ISSN 1873-6173, (N/A 100 pkt)|
|Publication size in sheets||0.95|
|Keywords in Polish||rynki graniczne, przekrój stopy zwrotu, wycena aktywów, prognozowanie stóp zwrotu, modele czynnikowe, integracja rynków finansowych, efekt momentum, efekt wartości|
|Keywords in English||Frontier equity markets, Factor models, Asset pricing, Stock market integration and segmentation, The cross-section of returns, Size, Value, Momentum, Profitability, Investment|
|Score||= 100.0, 07-04-2020, ArticleFromJournal|
|Publication indicators||= 2; : 2018 = 1.3; : 2017 = 1.871 (2) - 2017=2.621 (5)|
|Citation count*||7 (2020-06-25)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.