The momentum effect in Latin American emerging markets

Emerging Markets Finance and Trade

Volumn 43, Issue 4, 2007, Pages 24-45

  Muga, Luis ^a   Santamaría, Rafael ^a  

^a PUBLIC UNIVERSITY OF NAVARRE   (Spain)

Author keywords

Bootstrap tests; Emerging markets; Momentum; Stochastic dominance

Indexed keywords

EID: 34548738183     PISSN: 1540496X     EISSN: None     Source Type: Journal    
DOI: 10.2753/REE1540-496X430402     Document Type: Article

References (49)

1. Ang, A.; J. Chen; and Y. Xing. 2002. "Downside Risk and the Momentum Effect." National Bureau of Economics Research Working Paper no. W8643, Cambridge, MA (available at http://ssrn.com/abstract=294082).
2. Avramov, D., and T. Chordia. 2006. "Asset Pricing Models and Financial Market Anomalies." Review of Financial Studies 19, no. 3: 1001-1040.
3. Barberis, N.; A. Shleifer; R. Vishny. 1998. "A Model of Investor Sentiment." Journal of Financial Economics 49, no. 3: 307-343.
4. Barrett, G., and S. Donald. 2003. "Consistent Test for Stochastic Dominance." Econometrica 71, no. 1: 71-104.
5. Bekaert, G., and M.S. Urias. 1999. "Is There a Free Lunch in Emerging Markets Equities? In Some Markets, but Investors Need to Be More Selective Going Forward." Journal of Portfolio Management 25 (Spring): 83-95.
6. Carhart, M. 1997. "On Persistence in Mutual Fund Performance." Journal of Finance 52, no. 1: 57-82.
7. Chan, K.; A. Hameed; W. Tong. 2000. "Profitability of Momentum Strategies in the International Equity Markets." Journal of Financial and Quantitative Analysis 35, no. 2: 153-172.
8. Chordia, T., and L. Shivakumar. 2002. "Momentum, Business Cycle and Time Varying Expected Returns." Journal of Finance 57, no. 2: 985-1019.
9. Chow, K.V. 2001. "Marginal Conditional Stochastic Dominance, Statistical Inference and Measuring Portfolio Performance." Journal of Financial Research 26, no. 2: 289-307.
10. Conrad, J., and G. Kaul. 1998. "An Anatomy of Trading Strategies." Review of Financial Studies 11. no. 3: 489-519.
11. Cooper, M.J.; R.C. Gutierrez; and A. Hameed. 2004. "Market States and Momentum." Journal of Finance 59, no. 3: 1345-1365.
12. Daniel, K.; D. Hirshleifer; and A. Subrahmanyam. 1998. "Investor Psychology and Security Market Under and Overreactions." Journal of Finance 53, no. 6: 1839-1885.
13. Davidson, R., and J.Y. Duelos. 2000. "Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality." Econometrica 68, no. 6: 1435-1464.
14. De Bondt, W.F.M., and R.H. Thaler. 1985. "Does the Stock Market Overreact?" Journal of Finance 40, no. 3: 793-805.
15. De Roon, F. A.; T.E. Nijman; and B.J.M. Werker. 2001. 'Testing for Mean-Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets." Journal of Finance 56, no. 2: 721-742.
16. Estrada, J., and P. Serra. 2005. "Risk and Return in Emerging Markets: Family Matters." Journal of Multinational Financial Management 15, no. 3: 257-272.
17. Fama, E., and K. French. 1993. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics 33, no. 1: 3-56.
18. Fong, W.M.; W.K. Wong; and H.H. Lean. 2005. "International Momentum Strategies: A Stochastic Dominance Approach." Journal of Financial Markets 8, no. 1: 89-109.
19. Forner, C., and J. Marhuenda. 2003. "Contrarian and Momentum Strategies in the Spanish Stock Market." European Financial Management 9, no. 1: 67-88.
20. Glaser, M., and M. Weber. 2003. "Momentum and Turnover: Evidence from the German Stock Market." Schmalenbach Business Review 55 (April): 108-135.
21. Griffin, J.M.; X. Ji; and J.S. Martin. 2003. "Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole." Journal of Finance 58, no. 6: 2515-2548.
22. Grinblatt, M., and B. Han. 2005. "Prospect Theory, Mental Accounting, and Momentum." Journal of Financial Economics 78, no. 2: 311-339.
23. Grinblatt, M., and T.J. Moskowitz. 2004. "Predicting Stock Price Movements from Past Returns: The Role of Consistency and Tax Loss Selling." Journal of Financial Economics 71, no. 2: 541-579.
24. Grundy, R.F., and S.R. Martin. 2001. "Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing." Review of Financial Studies 14, no. 1: 29-79.
25. Hameed, A., and Y. Kusnadi. 2002. "Momentum Strategies: Evidence from Pacific Basin Stock Markets." Journal of Financial Research 25, no. 3: 383-397.
26. Hon, M.T., and I. Tonks. 2003. "Momentum in the United Kingdom Stock Market." Journal of Multinational Financial Management 13, no. 1:43-70.
27. Hong, H.; T. Lim; and J.C. Stein. 2000. "Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies." Journal of Finance 55, no. 1: 265-295.
28. Hong, H., and J.C. Stein. 1999. "A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets." Journal of Finance 54, no. 6: 2143-2184.
29. Hvidkjaer, S. 2006. "A Trade-Based Analysis of Momentum." Review of Financial Studies 19, no. 2: 457-491.
30. Jegadeesh, N. 1990. "Evidence of Predictable Behavior of Security Returns." Journal of Finance 45, no. 3: 881-898.
31. Jegadeesh, N., and S. Titman. 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency." Journal of Finance 48, no. 1: 65-91.
32. _. 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations." Journal of Finance 56, no. 2: 699-720.
33. _. 2002. "Cross-Sectional and Time-Series Determinants of Momentum Returns." Review of Financial Studies 15, no. 1: 143-158.
34. Karolyi, G. A., and B.C. Kho. 2004. "Momentum Strategies: Some Bootstrap Tests." Journal of Empirical Finance 11, no. 4: 509-536.
35. Lee, C.M.C., and B. Swaminathan. 2000. "Price Momentum and Trading Volume." Journal of Finance 55, no. 5: 2017-2069.
36. Lehmann, B. 1990. "Fads, Martingales and Market Efficiency." Quarterly Journal of Economics 105, no. 1: 1-28.
37. Lesmond, D.A.; M.J. Schill; and C. Zhou. 2004. "The Illusory Nature of Momentum Profits." Journal of Financial Economics 71, no. 2: 349-380.
38. Levy, H. 1998. Stochastic Dominance: Investment Decision Making Under Uncertainty. Boston: Kluwer.
39. Mengoli, S. 2004. "On the Source of Contrarian and Momentum Strategies in the Italian Equity Market." International Review of Financial Analysis 13, no. 3: 301-331.
40. Moskowitz, T.J., and M. Grinblatt. 1999. "Do Industries Explain Momentum?" Journal of Finance 54, no. 4: 1249-1290.
41. Muga, L., and R. Santamaría. 2007a. "Asymmetric Risk and Momentum Strategies in the Spanish Stock Market." Investigaciones Económicas 31, no. 2: 323-340.
42. _. 2007b. "The Stock Market Crisis and Momentum: Some Evidence for the Spanish Stock Market During the 1990s." Applied Financial Economics 17, no. 6: 521-540.
43. Nijman, T.; L. Swinkels; and M. Verbeek. 2004. "Do Countries or Industries Explain Momentum in Europe?" Journal of Empirical Finance 11, no. 4: 461-481.
44. Richards, A.J. 1997. "Winner-Loser Reversals in National Stock Market Indices: Can They Be Explained?" Journal of Finance 52, no. 5: 2129-2144.
45. Rouwenhorst, K.G. 1998. "International Momentum Strategies." Journal of Finance 53, no. 1: 267-284.
46. _. 1999. "Local Return Factors and Turnover in Emerging Stocks Markets." Journal of Finance 54, no. 4: 1439-1464.
47. Shalit, H., and S. Yitzhaki. 1994. "Marginal Conditional Stochastic Dominance." Management Science 40, no. 5: 670-684.
48. Shen, Q.; A.C. Szakmary; and S.C. Sharma. 2005. "Momentum and Contrarian Strategies in International Stock Markets. Further Evidence." Journal of Multinational Financial Management 15, no. 3: 235-255.
49. Van der Hart, J.; E. Slagter; and D. Van Dijk. 2003. "Stock Selection Strategies in Emerging Markets." Journal of Empirical Finance 10, no. 1: 105-132.