Which Anomalies are Robust in Emerging and Developed Stock Markets?

"Which Anomalies are Robust in Emerging and Developed Stock Markets?" Emerging Markets Quarterly, vol. 4, no. 3, pp. 50-67 (2000)

Posted: 21 Jun 2019

See all articles by J. Benson Durham

J. Benson Durham

Columbia University; Cornerstone Macro LLC

Date Written: 2000

Abstract

Recent applications of extreme bound analysis (EBA) to stock market anomalies suggest that few variables are robust. This article extends this research and examines emerging and developed markets simultaneously. Among 15 purported anomalies, six variables – short-run lagged returns, momentum, long-run lagged returns, country risk, trade openness, and volatility – are robust according to at least one EBA decision rule, given panel data covering 32 markets from December 1986 through December 1998. Splitting the sample across emerging and developed markets suggests that anomalies are no more likely to be robust in less developed countries. But, time series EBA for each individual market scarcely produces a common asset pricing model; each anomaly is sturdy according to at least one criterion for at least one country, but no variable is robust with the expected sign in a majority of cases.

Suggested Citation

Durham, J. Benson, Which Anomalies are Robust in Emerging and Developed Stock Markets? (2000). "Which Anomalies are Robust in Emerging and Developed Stock Markets?" Emerging Markets Quarterly, vol. 4, no. 3, pp. 50-67 (2000), Available at SSRN: https://ssrn.com/abstract=3404613

J. Benson Durham (Contact Author)

Columbia University ( email )

School of International and Public Affairs
420 W 118th St
New York, NY 10027
United States

Cornerstone Macro LLC ( email )

1330 Sixth Avenue, 5th Floor
New York, NY 10019
United States

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