The cross-section of returns in frontier equity markets: Integrated or segmented pricing?

Adam Zaremba , Alina Maydybura

Abstract

Is 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.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Alina Maydybura - University of Dubai, UAE
Alina Maydybura,,
-
Journal seriesEmerging Markets Review, ISSN 1566-0141, e-ISSN 1873-6173, (N/A 100 pkt)
Issue year2019
Vol38
Pages219-238
Publication size in sheets0.95
Keywords in Polishrynki graniczne, przekrój stopy zwrotu, wycena aktywów, prognozowanie stóp zwrotu, modele czynnikowe, integracja rynków finansowych, efekt momentum, efekt wartości
Keywords in EnglishFrontier equity markets, Factor models, Asset pricing, Stock market integration and segmentation, The cross-section of returns, Size, Value, Momentum, Profitability, Investment
ASJC Classification1403 Business and International Management; 2002 Economics and Econometrics
DOIDOI:10.1016/j.ememar.2019.02.003
URL https://www.sciencedirect.com/science/article/abs/pii/S156601411830116X
Languageen angielski
Score (nominal)100
Score sourcejournalList
ScoreMinisterial score = 100.0, 07-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 2; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 1.3; WoS Impact Factor: 2017 = 1.871 (2) - 2017=2.621 (5)
Citation count*7 (2020-06-25)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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