de Groot, Wilma; Pang, Juan; Swinkels, Laurens - In: Journal of Empirical Finance 19 (2012) 5, pp. 796-818
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 …