Pang, J.

market return frontier stock strategy frontier markets portfolio month momentum index value country effect result factor period sample table investment equity markets equity finance momentum strategies panel size effect risk factors score journal correlation t-value transaction costs sample period transaction 0.00 investor downside risk turnover asset investment strategies market capitalization table 2 ratio characteristic stock returns 6.9 &p frontier bmi capitalization panel b 6.7 7.2 analysis / journal 0.01 region 12 months section report number 7.1 0.02 diversification benefits momentum effects estimate equally-weighted measure transactions costs 5.8 frontier equity markets value effect capital constraints volatility b /m strategy liquidity individualism return factors downside evidence mean-variance country level 0.04