• Medientyp: E-Book
  • Titel: Momentum and Reversal Puzzle in Emerging Markets
  • Beteiligte: Ornelas, Jose Renato Haas [Verfasser:in]; Fernandes, Jose L. B. [Sonstige Person, Familie und Körperschaft]
  • Erschienen: [S.l.]: SSRN, [2008]
  • Umfang: 1 Online-Ressource (19 p)
  • Sprache: Nicht zu entscheiden
  • DOI: 10.2139/ssrn.676392
  • Identifikator:
  • Entstehung:
  • Anmerkungen:
  • Beschreibung: Empirical research about the existence of momentum in Emerging Stock Markets shows that profits are in general positive but not always economically and statistically significant. This paper re-examines the momentum phenomenon in 15 emerging markets, using data from 1995 to 2005. Our results are strongly different from previous literature: we found no evidence of momentum and a significant evidence of reversals in most of the markets analysed, even when controlled for systematic risk and size. This is probably due to a faster diffusion and a huge amount of information available in recent years, which are leading to overconfidence and overreaction
  • Zugangsstatus: Freier Zugang