Size, Value, Momentum, Liquidity and Quality in Emerging Market Asia Stock Returns
Post by MSF Chula at Sunday, 10 January 2021 05:41 PM

The paper extends the evidence on factors determining stock prices on emerging markets focusing on Asia. Besides market, size, value and momentum factors, we investigate whether liquidity and quality are priced risk factors in emerging Asia stock markets; China, India, Indonesia, Korea, Malaysia, Pakistan, Philippines, Taiwan and Thailand. Using stock level data from July 1992 to June 2018 (312 months), we compare the performance of the original Cahart-four-factor model and the augmented Cahart-four-factor model added with liquidity and quality factors by testing their explanatory power over a broad range of cross-sectional return patterns in emerging Asia markets based on factors constructed using local and Emerging markets Asia stock markets data. Local factors perform much better, suggesting emerging markets Asia insignificantly connected. Contrary to the expectation that liquidity and quality are priced factors on emerging markets Asia, we do not find the significant evidence to supporting this hypothesis.

Last updated at Sunday, 10 January 2021 05:41 PM