Empirical research about the existence of momentum in Emerging Stock Markets shows that
profits are in general positive but not always economically and statistically significant. This
paper re-examines the momentum phenomenon in 15 emerging markets, using data from
1995 to 2005. Our results are strongly different from previous literature: we found no
evidence of momentum and a significant evidence of reversals in most of the markets
analysed, even when controlled for systematic risk and size. This is probably due to a faster …