Does financial integration impact performance of equity anomalies?
We examine prominent market anomalies and evaluate the efficacy of alternative asset pricing models under different financial integration settings. A financial integration index is developed for classifying 25 sample markets into high-, medium- and low integration groups. Size is found to be the str...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2022-12-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2111802 |
| _version_ | 1798041734415908864 |
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| author | Gagan Sharma Sanjay Sehgal Anil V. Mishra |
| author_facet | Gagan Sharma Sanjay Sehgal Anil V. Mishra |
| author_sort | Gagan Sharma |
| collection | DOAJ |
| description | We examine prominent market anomalies and evaluate the efficacy of alternative asset pricing models under different financial integration settings. A financial integration index is developed for classifying 25 sample markets into high-, medium- and low integration groups. Size is found to be the strongest anomaly in world markets, followed by value and liquidity. Value and profitability effects are larger for low-integrated markets. Highly integrated markets experience short-term momentum while many low-integrated markets exhibit mild reversals. Fama and French five-factor model outperforms capita l asset pricing model (CAPM) and Fama and French three-factor model in explaining returns. International factors augment the role of local factors for more integrated markets. Our study has implications for global investors to design anomaly based investment strategies. |
| first_indexed | 2024-04-11T22:25:39Z |
| format | Article |
| id | doaj.art-89f69cd0fb3a4b629e4acd204a8fd10e |
| institution | Directory Open Access Journal |
| issn | 2332-2039 |
| language | English |
| last_indexed | 2024-04-11T22:25:39Z |
| publishDate | 2022-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj.art-89f69cd0fb3a4b629e4acd204a8fd10e2022-12-22T03:59:40ZengTaylor & Francis GroupCogent Economics & Finance2332-20392022-12-0110110.1080/23322039.2022.2111802Does financial integration impact performance of equity anomalies?Gagan Sharma0Sanjay Sehgal1Anil V. Mishra2Internal Firm Services, DSSILLP,Bengaluru, IndiaDepartment of Financial Studies, University of Delhi, South Campus, New Delhi, IndiaSchool of Business, Western Sydney University, New South Wales, AustraliaWe examine prominent market anomalies and evaluate the efficacy of alternative asset pricing models under different financial integration settings. A financial integration index is developed for classifying 25 sample markets into high-, medium- and low integration groups. Size is found to be the strongest anomaly in world markets, followed by value and liquidity. Value and profitability effects are larger for low-integrated markets. Highly integrated markets experience short-term momentum while many low-integrated markets exhibit mild reversals. Fama and French five-factor model outperforms capita l asset pricing model (CAPM) and Fama and French three-factor model in explaining returns. International factors augment the role of local factors for more integrated markets. Our study has implications for global investors to design anomaly based investment strategies.https://www.tandfonline.com/doi/10.1080/23322039.2022.2111802financial integration indexasset pricing anomaliesfactor models |
| spellingShingle | Gagan Sharma Sanjay Sehgal Anil V. Mishra Does financial integration impact performance of equity anomalies? Cogent Economics & Finance financial integration index asset pricing anomalies factor models |
| title | Does financial integration impact performance of equity anomalies? |
| title_full | Does financial integration impact performance of equity anomalies? |
| title_fullStr | Does financial integration impact performance of equity anomalies? |
| title_full_unstemmed | Does financial integration impact performance of equity anomalies? |
| title_short | Does financial integration impact performance of equity anomalies? |
| title_sort | does financial integration impact performance of equity anomalies |
| topic | financial integration index asset pricing anomalies factor models |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2022.2111802 |
| work_keys_str_mv | AT gagansharma doesfinancialintegrationimpactperformanceofequityanomalies AT sanjaysehgal doesfinancialintegrationimpactperformanceofequityanomalies AT anilvmishra doesfinancialintegrationimpactperformanceofequityanomalies |