Swinkels, Laurens A. P.; de Groot, de Groot, W.; Pang, … - Erasmus Research Institute of Management (ERIM), … - 2012
in these markets. We document the presence of economically and statistically significant value and momentum effects, and … a local size effect. Our results indicate that the value and momentum effects still exist when incorporating … conservative assumptions of transaction costs. Additionally, we show that value, momentum, and local size returns in frontier …