Brown, Stephen; Yan Du, Daphne; Rhee, S. Ghon; Zhang, Liang - In: Emerging Markets Review 9 (2008) 2, pp. 79-88
Two unique experiments are conducted. First, we evaluate returns to the best value and momentum strategies combined by: (i) a long portfolio of stocks classified as both value stocks and winner stocks; and (ii) a short portfolio of stocks classified as both growth and loser stocks. Second, we...