Evaluating asset pricing anomalies: evidence from Latin America

We analyze the significance of 51 asset pricing anomalies in Latin America. We examine economic significance via portfolio simulations that dilute the effect of microcaps. To avoid reporting false discoveries, we employ a multiple hypothesis testing framework. Few anomalies are economically signific...

Full description

Autores:
Berggrun, Luis
Cardona, Emilio
Lizarzaburu Bolaños, Edmundo Raúl
Tipo de recurso:
Article of investigation
Fecha de publicación:
2024
Institución:
Colegio de Estudios Superiores de Administración
Repositorio:
Repositorio CESA
Idioma:
eng
OAI Identifier:
oai:repository.cesa.edu.co:10726/5781
Acceso en línea:
http://hdl.handle.net/10726/5781
https://doi.org/10.1016/j.ribaf.2024.102381
Palabra clave:
Emerging markets
False discovery rate
Five-factor model
Meta-analysis
Portfolios
Rights
License
Abierto (Texto Completo)
id CESA2_50c9c1b6a451df930639bf59566c6aca
oai_identifier_str oai:repository.cesa.edu.co:10726/5781
network_acronym_str CESA2
network_name_str Repositorio CESA
repository_id_str
spelling Berggrun, Luisaa243905-4ac7-476f-836d-5dd836dc0bcf-1Cardona, Emilioecf99039-c466-45ac-ae92-0595379ee084-1Lizarzaburu Bolaños, Edmundo Raúlf0a8b08c-4c6a-49e8-a739-30b8498e684c-1Berggrun, Luis [0000-0002-8489-0818]Lizarzaburu Bolaños, Edmundo Raúl [0000-0002-8862-5624]Berggrun, Luis [37057140100]Cardona, Emilio [57069944700]Lizarzaburu Bolaños, Edmundo Raúl [55617076500]2025-02-25T20:43:31Z2025-02-25T20:43:31Z2024-06-01http://hdl.handle.net/10726/5781Art008instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/https://doi.org/10.1016/j.ribaf.2024.102381engElsevier B.V.Evaluating asset pricing anomalies: evidence from Latin Americaarticlehttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articlehttp://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_71e4c1898caa6e32Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2We analyze the significance of 51 asset pricing anomalies in Latin America. We examine economic significance via portfolio simulations that dilute the effect of microcaps. To avoid reporting false discoveries, we employ a multiple hypothesis testing framework. Few anomalies are economically significant. Expanding the holding periods for long-short anomaly portfolios points out to the same direction. Anomalies are seldom significant when testing for statistical significance and tend to be more prevalent in small rather than in large stocks. However, their presence is not widespread. Thus, many anomalies in the extant literature do not survive out-of-sample scrutiny in this region.https://orcid.org/0000-0002-8489-0818https://orcid.org/0000-0002-8862-5624https://www.scopus.com/authid/detail.uri?authorId=37057140100https://www.scopus.com/authid/detail.uri?authorId=57069944700https://www.scopus.com/authid/detail.uri?authorId=5561707650070Research in International Business and FinanceEmerging marketsFalse discovery rateFive-factor modelMeta-analysisPortfolios10726/5781oai:repository.cesa.edu.co:10726/57812025-02-25 15:43:34.482metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co
dc.title.eng.fl_str_mv Evaluating asset pricing anomalies: evidence from Latin America
title Evaluating asset pricing anomalies: evidence from Latin America
spellingShingle Evaluating asset pricing anomalies: evidence from Latin America
Emerging markets
False discovery rate
Five-factor model
Meta-analysis
Portfolios
title_short Evaluating asset pricing anomalies: evidence from Latin America
title_full Evaluating asset pricing anomalies: evidence from Latin America
title_fullStr Evaluating asset pricing anomalies: evidence from Latin America
title_full_unstemmed Evaluating asset pricing anomalies: evidence from Latin America
title_sort Evaluating asset pricing anomalies: evidence from Latin America
dc.creator.fl_str_mv Berggrun, Luis
Cardona, Emilio
Lizarzaburu Bolaños, Edmundo Raúl
dc.contributor.author.none.fl_str_mv Berggrun, Luis
Cardona, Emilio
Lizarzaburu Bolaños, Edmundo Raúl
dc.contributor.orcid.none.fl_str_mv Berggrun, Luis [0000-0002-8489-0818]
Lizarzaburu Bolaños, Edmundo Raúl [0000-0002-8862-5624]
dc.contributor.scopus.none.fl_str_mv Berggrun, Luis [37057140100]
Cardona, Emilio [57069944700]
Lizarzaburu Bolaños, Edmundo Raúl [55617076500]
dc.subject.proposal.none.fl_str_mv Emerging markets
False discovery rate
Five-factor model
Meta-analysis
Portfolios
topic Emerging markets
False discovery rate
Five-factor model
Meta-analysis
Portfolios
description We analyze the significance of 51 asset pricing anomalies in Latin America. We examine economic significance via portfolio simulations that dilute the effect of microcaps. To avoid reporting false discoveries, we employ a multiple hypothesis testing framework. Few anomalies are economically significant. Expanding the holding periods for long-short anomaly portfolios points out to the same direction. Anomalies are seldom significant when testing for statistical significance and tend to be more prevalent in small rather than in large stocks. However, their presence is not widespread. Thus, many anomalies in the extant literature do not survive out-of-sample scrutiny in this region.
publishDate 2024
dc.date.issued.none.fl_str_mv 2024-06-01
dc.date.accessioned.none.fl_str_mv 2025-02-25T20:43:31Z
dc.date.available.none.fl_str_mv 2025-02-25T20:43:31Z
dc.type.none.fl_str_mv article
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.coar.none.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv info:eu-repo/semantics/article
dc.type.redcol.none.fl_str_mv http://purl.org/redcol/resource_type/ART
dc.type.coarversion.none.fl_str_mv http://purl.org/coar/version/c_71e4c1898caa6e32
format http://purl.org/coar/resource_type/c_2df8fbb1
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10726/5781
dc.identifier.local.none.fl_str_mv Art008
dc.identifier.instname.none.fl_str_mv instname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponame.none.fl_str_mv reponame:Biblioteca Digital – CESA
dc.identifier.repourl.none.fl_str_mv repourl:https://repository.cesa.edu.co/
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1016/j.ribaf.2024.102381
url http://hdl.handle.net/10726/5781
https://doi.org/10.1016/j.ribaf.2024.102381
identifier_str_mv Art008
instname:Colegio de Estudios Superiores de Administración – CESA
reponame:Biblioteca Digital – CESA
repourl:https://repository.cesa.edu.co/
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.citationvolume.none.fl_str_mv 70
dc.relation.ispartofjournal.none.fl_str_mv Research in International Business and Finance
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.local.none.fl_str_mv Abierto (Texto Completo)
rights_invalid_str_mv Abierto (Texto Completo)
http://purl.org/coar/access_right/c_abf2
dc.publisher.none.fl_str_mv Elsevier B.V.
publisher.none.fl_str_mv Elsevier B.V.
institution Colegio de Estudios Superiores de Administración
repository.name.fl_str_mv Biblioteca Digital - CESA
repository.mail.fl_str_mv biblioteca@cesa.edu.co
_version_ 1831930146310848512

Publicaciones similares