RT Journal Article
SR Electronic
T1 Country Size and Country Momentum Effects in Emerging and Frontier Markets
JF The Journal of Investing
FD Institutional Investor Journals
SP 102
OP 108
DO 10.3905/joi.2015.24.1.102
VO 24
IS 1
A1 Tianchuan Li
A1 Mahesh Pritamani
YR 2015
UL https://pm-research.com/content/24/1/102.abstract
AB We examine size and momentum effects based on country index returns for a universe of emerging and frontier market countries. We find that small countries outperform large countries by around 7% per year over the period 1990–2013. We find stronger evidence supporting country momentum when we use past-6-month as opposed to past- 12-month returns to define winner and loser countries. The momentum effects are also sensitive to the length of the holding period, with momentum effects stronger at shorter holding periods. We find that both size and momentum effects weaken over time.TOPICS: Analysis of individual factors/risk premia, frontier