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- Title
Stock Selection Modeling and Portfolio Selection in Emerging Markets.
- Authors
Guerard Jr, John B.; Gillam, Robert A.; Beheshti, Bijan
- Abstract
This article addresses stock selection modeling and portfolio selection and implementation in EMs. The authors view EM investing as a special case of global investing, demonstrating how stock-selection models in EMs with price momentum and forecast earnings acceleration factors can enhance returns. The authors construct index-enhanced portfolios for EMs that offer superior return-to-risk ratios relative to domestic portfolios. On the basis of back test and in real-time performance, the authors show how an EM portfolio using forecast earnings and price momentum anomalies can be developed, estimated, and implemented to generate statistically significant excess returns.
- Subjects
STOCKS (Finance); EMERGING markets; MOMENTUM investing; ECONOMIC forecasting; PORTFOLIO management (Investments)
- Publication
Journal of Portfolio Management, 2022, Vol 48, Issue 8, p86
- ISSN
0095-4918
- Publication type
Article
- DOI
10.3905/jpm.2022.1.375