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Evaluating asset pricing anomalies: Evidence from Latin America

Author

Listed:
  • Berggrun, Luis
  • Cardona, Emilio
  • Lizarzaburu, Edmundo

Abstract

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.

Suggested Citation

  • Berggrun, Luis & Cardona, Emilio & Lizarzaburu, Edmundo, 2024. "Evaluating asset pricing anomalies: Evidence from Latin America," Research in International Business and Finance, Elsevier, vol. 70(PB).
    • Handle: RePEc:eee:riibaf:v:70:y:2024:i:pb:s0275531924001740
    DOI: 10.1016/j.ribaf.2024.102381
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    More about this item

    Keywords

    emerging markets; false discovery rate; five-factor model; meta-analysis; portfolios;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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