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https://doi.org/10.1080/1331677X.2019.1653782

Predicting the performance of equity anomalies in frontier emerging markets: a Markov switching model approach

Anna Czapkiewicz ; AGH University of Science and Technology,Kraków, Poland
Adam Zaremba   ORCID icon orcid.org/0000-0001-5879-9431 ; University of Dubai, Dubai, United Arab Emirates; c Poznań University of Economics and Business, Poznań, Poland
Jakub Szczygielski ; Department of Financial Management, University of Pretoria, Pretoria, South Africa

Puni tekst: engleski, pdf (2 MB) str. 3077-3093 preuzimanja: 44* citiraj
APA 6th Edition
Czapkiewicz, A., Zaremba, A. i Szczygielski, J. (2019). Predicting the performance of equity anomalies in frontier emerging markets: a Markov switching model approach. Economic research - Ekonomska istraživanja, 32 (1), 3077-3093. https://doi.org/10.1080/1331677X.2019.1653782
MLA 8th Edition
Czapkiewicz, Anna, et al. "Predicting the performance of equity anomalies in frontier emerging markets: a Markov switching model approach." Economic research - Ekonomska istraživanja, vol. 32, br. 1, 2019, str. 3077-3093. https://doi.org/10.1080/1331677X.2019.1653782. Citirano 31.03.2020.
Chicago 17th Edition
Czapkiewicz, Anna, Adam Zaremba i Jakub Szczygielski. "Predicting the performance of equity anomalies in frontier emerging markets: a Markov switching model approach." Economic research - Ekonomska istraživanja 32, br. 1 (2019): 3077-3093. https://doi.org/10.1080/1331677X.2019.1653782
Harvard
Czapkiewicz, A., Zaremba, A., i Szczygielski, J. (2019). 'Predicting the performance of equity anomalies in frontier emerging markets: a Markov switching model approach', Economic research - Ekonomska istraživanja, 32(1), str. 3077-3093. https://doi.org/10.1080/1331677X.2019.1653782
Vancouver
Czapkiewicz A, Zaremba A, Szczygielski J. Predicting the performance of equity anomalies in frontier emerging markets: a Markov switching model approach. Economic research - Ekonomska istraživanja [Internet]. 2019 [pristupljeno 31.03.2020.];32(1):3077-3093. https://doi.org/10.1080/1331677X.2019.1653782
IEEE
A. Czapkiewicz, A. Zaremba i J. Szczygielski, "Predicting the performance of equity anomalies in frontier emerging markets: a Markov switching model approach", Economic research - Ekonomska istraživanja, vol.32, br. 1, str. 3077-3093, 2019. [Online]. https://doi.org/10.1080/1331677X.2019.1653782

Sažetak
Equity anomalies in frontier markets appear and disappear over time. This article aims to demonstrate the predictability of which of these transient anomalies will be profitable using a Markov switching model. To do so, we examine 140 equity anomalies identified in the literature using a unique sample of over 3,600 stocks from 23 frontier equity markets between 1997 and 2016. The application of a Markov switching model reveals that the time-series pattern of expected returns is dependent upon the type of anomaly; some anomalies become unprofitable over time whereas profitability increases in tandem with the development of a specific stock market for other types of anomalies. Results further indicate that forecasts of the next month’s return obtained from this model can translate into profitable investment strategies. We find that an anomaly selection strategy that relies on the model produces abnormal returns and outperforms a naïve benchmark that considers all the anomalies. We go onto demonstrate that our results are robust.

Ključne riječi
equity anomalies; Markov switching model; return predictability; frontier equity markets; emerging stock markets; factor allocation

Hrčak ID: 229629

URI
https://hrcak.srce.hr/229629

Posjeta: 72 *