This study investigates the cross-sectional and time-series properties of momentum returns in 19 emerging market countries. Consistent with previous studies, we find that overall momentum profits are lower in emerging markets. One explanation for this underperformance is the negative relationship between momentum returns and market factor in down market states, which lowers overall momentum returns in emerging market countries. In this regard, we find that risk management of momentum reduces exposure to the market factor, thereby boosting returns, Sharpe ratios, and asset pricing model alphas. Finally, momentum returns are lower in more risk averse emerging market countries, and momentum crashes usually occur when risk aversion is higher.

这项研究调查了19个新兴市场国家动量收益的横截面和时间序列特性。与先前的研究一致，我们发现新兴市场的整体动能利润较低。这种表现不佳的一种解释是，处于下跌状态的动量回报与市场因素之间存在负相关关系，这降低了新兴市场国家的总体动能回报。在这方面，我们发现动量风险管理减少了对市场因素的敞口，从而提高了收益，夏普比率和资产定价模型alpha。最后，在风险偏好较高的新兴市场国家，动量回报较低，而当风险规避程度较高时，动量崩溃通常会发生。