Stock market anomalies in emerging markets

This thesis investigates the presence and behavior of stock market anomalies in emerging markets and the objective is to answer two questions, both directly related to investing in anomalies and (emerging market) stocks. The first question is; how do anomalies behave in emerging markets? And the second, can anomalies be used effectively to forecast the stock returns? These questions are researched with hedge portfolios, (Fama-MacBeth) crosssectional regressions, and point-forecasts (with various variable specifications and calculated with shrinkage methods). This thesis finds that anomalies are still present in emerging markets when forming hedge portfolios and in cross sectional characteristic premiums. This is reflected by significant results on some of the hedge portfolios, even after trading costs. The characteristic premiums are significant, and some have changed over time. Using the anomalies directly in forecasting stock returns is not a fruitful exposition.