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Predicting The Performance of Equity Anomalies in Frontier Emerging Markets - A Markov Switching Model Approach by 陳岱佑 is a document available to read on EtoBox.

The article explores the predictability of equity anomalies in frontier emerging markets using a Markov switching model, analyzing 140 anomalies across 3,600 stocks from 23 markets between 1997 and 2016. The findings indicate that the expected returns of these anomalies are time-varying and depend on the type of anomaly, with some becoming unprofitable over time while others gain profitability as markets develop. The study demonstrates that employing the Markov switching model can lead to profitable investm

Author

陳岱佑

Language

EN