Country Size and Country Momentum Effects in Emerging and Frontier Markets

Abstract

We examine size and momentum effects based on country index returns for a universe of emerging and frontier market countries. We find that small countries outperform large countries by around 7% per year over the period 1990–2013. We find stronger evidence supporting country momentum when we use past-6-month as opposed to past- 12-month returns to define winner and loser countries. The momentum effects are also sensitive to the length of the holding period, with momentum effects stronger at shorter holding periods. We find that both size and momentum effects weaken over time.

TOPICS: Analysis of individual factors/risk premia, frontier