Weekly Momentum Returns and Information Efficiency in Emerging Markets

• Main Authors: Pei-Ying Hsieh, 謝佩盈
• Other Authors: 辛敬文
• Format: Others
• Language: en_US
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/36439699556278182595

碩士 === 元智大學 === 財務金融學系 === 98 === This study examines the weekly momentum returns in 28 emerging markets with a focus on their relationship with the level of firm-specific information diffusion and information uncertainty. The results indicate that only fourteen of these sampled markets exhibit significant momentum returns based on prior one week’s price performance. The cross-country average results indicate that these momentum effects are stronger when performed over firms with smaller market capitalizations, lower analyst coverage, greater forecast revisions, greater forecast dispersions or greater forecast bias. These findings are generally consistent with the hypothesis. The results of fixed effects model indicate that return anomalies to long-short strategies are related with a market’s GDP, foreign involvement and return dispersions.