1. Including emerging markets in international momentum investment strategies
- Author
-
Andy Naranjo and Burt Porter
- Subjects
Economics and Econometrics ,Investment strategy ,Financial economics ,Diversification (finance) ,Portfolio ,Trading strategy ,Profitability index ,Business ,Business and International Management ,Portfolio investment ,Emerging markets - Abstract
Momentum return investment strategies that diversify across countries provide lower portfolio standard deviations and/or increased expected returns. These diversification benefits are larger when adding emerging markets than when adding developed markets, and they are larger than would be suggested by diversifying with long-only portfolios. Using data on almost 16,000 firms from 22 developed and 18 emerging markets over the 1990–2004 period, we confirm the profitability of momentum trading strategies in both developed and emerging markets and document the diversification benefits of including emerging markets in an international momentum portfolio investment strategy.
- Published
- 2007