Predicting equity returns in emerging markets

Atılgan, Yiğit and Demirtaş, Özgür and Günaydın, A. Doruk (2021) Predicting equity returns in emerging markets. Emerging Markets Finance and Trade, 57 (13). pp. 3721-3738. ISSN 1540-496X (Print) 1558-0938 (Online)

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This study investigates the relation between firm-specific attributes and future equity returns in 23 emerging markets. Equal-weighted portfolio returns reveal strong evidence of short-term momentum (rather than reversal) and medium-term return momentum. We also find evidence that market beta, book-to-market ratio and downside risk metrics predict equity returns, however, these relations get weaker once value-weighting is used. In univariate regressions, smaller firms with higher idiosyncratic volatility, lottery-like characteristics and stock-specific downside risk are associated with higher future returns, however, these relations disappear in a multivariate setting. We conclude that the most robust cross-sectional effects are short- and medium-term return momentum.
Item Type: Article
Uncontrolled Keywords: anomalies; cross-section of equity returns; emerging markets; G10; G11; G12; momentum; Tail risk
Divisions: Sabancı Business School
Depositing User: Yiğit Atılgan
Date Deposited: 31 Aug 2022 20:48
Last Modified: 31 Aug 2022 20:48

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