Abstract
In contrast to some earlier studies, we document statistically significant within-country style effects in several Southeast Asian emerging market portfolios. Small capitalization and value stocks tend to outperform their style counterparts in the complete samples. While average return correlations among the zero-cost style portfolios are low – emphasizing the value of an intra-regional diversification strategy – these correlations exhibit significant variation over time. Measures of integration for the style portfolios are also low on average but tend to vary over time. These results suggest that while diversification is helpful on average, there are some periods of time when a regional style rotation strategy is warranted and other times when country-specific rotation strategies are reasonable.
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