Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging … country selection is incorporated into the strategies, but the risk of thestrategies increases proportionally. Second, we test …. We find no evidence of higher market risk or lower liquidity ofthe strategies. Instead, based on the developments of …

Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging … country selection is incorporated into the strategies, but the risk of thestrategies increases proportionally. Second, we test …. We find no evidence of higher market risk or lower liquidity ofthe strategies. Instead, based on the developments of …

momentum strategies generate significantexcess returns in emerging markets. We confirm these results and extend them in … risk of thestrategies increases proportionally. Second, we test whether the strategies can be implementedsuccessfully in …, we examine several popularexplanations for the excess returns. We find no evidence of higher market risk or lower …

We examine competing explanations, based on risk and behavioral models, for the profitability of stock selection … strategies in emerging markets. We document that both emerging market risk and global risk factors cannot account for the … significant excess returns of selection strategies based on value, momentum and earnings revisions indicators. The findings for …

We examine competing explanations, based on risk and behavioral models, for the profitability of stock selection … strategies in emerging markets. We document that both emerging market risk and global risk factors cannot account for the … significant excess returns of selection strategies based on value, momentum and earnings revisions indicators. The findings for …

significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk … Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … internationalization and a higher free float. In this paper, we investigate to what extent these changes influenced the well-known risk …

The four risk factors controlling for the market, size, value and momentum effect have become a state …

significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk … Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … internationalization and a higher free float. In this paper, we investigate to what extent these changes influenced the well-known risk …

The four risk factors controlling for the market, size, value and momentum effect have become a state …

of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia … find very high value and size premiums and strong synergy effects between value and momentum strategies. However, the …, only the value premium survives. The size and momentum effects get obliterated. …