Stock Selection Modeling and Portfolio Selection in Emerging Markets
研究了新兴市场中结合价格动量与预测盈利加速因素的股票选择模型，构建了指数增强型投资组合，回测和实时表现显示能产生统计上显著的超额收益。
This article addresses stock selection modeling and portfolio selection and implementation in EMs. The authors view EM investing as a special case of global investing, demonstrating how stock-selection models in EMs with price momentum and forecast earnings acceleration factors can enhance returns. The authors construct index-enhanced portfolios for EMs that offer superior return-to-risk ratios relative to domestic portfolios. On the basis of back test and in real-time performance, the authors show how an EM portfolio using forecast earnings and price momentum anomalies can be developed, estimated, and implemented to generate statistically significant excess returns.