Which Anomalies are Robust in Emerging and Developed Stock Markets?

Recent applications of extreme bound analysis (EBA) to stock market anomalies suggest that few variables are robust. This article extends this research and examines emerging and developed markets simultaneously. Among 15 purported anomalies, six variables – short-run lagged returns, momentum, long-run lagged returns, country risk, trade openness, and volatility – are robust according to at least one EBA decision rule, given panel data covering 32 markets from December 1986 through December 1998. Splitting the sample across emerging and developed markets suggests that anomalies are no more likely to be robust in less developed countries. But, time series EBA for each individual market scarcely produces a common asset pricing model; each anomaly is sturdy according to at least one criterion for at least one country, but no variable is robust with the expected sign in a majority of cases