Factor Premia, Crisis-Linked Period Sensitivity, and the Value–Profitability Association in Emerging Markets

Hussain, Sayed Akif; Saleem, Faiza; KOMAL, ASMA; Bin Madon, Heinko Dona; Gul, Samina

doi:10.22059/ijms.2026.405224.678162

Factor Premia, Crisis-Linked Period Sensitivity, and the Value–Profitability Association in Emerging Markets

Articles in Press

Document Type : Research Paper

Authors

Sayed Akif Hussain ¹

Faiza Saleem ²

ASMA KOMAL ³

Heinko Dona Bin Madon ⁴

Samina Gul ⁵

¹ School of economics and management, CQUPT, Chongqing, China

² Graduate school of business,Universiti sains Malysia (USM),Penang,11800,Malysia

³ School of Computer Science, CQUPT, Chongqing, China

⁴ Tun Razak Graduate school, Universiti Tun Abdul Razak, Kuala Lumpur Malaysia

⁵ Lahore business school, The university of Lahore. Pakistan

10.22059/ijms.2026.405224.678162

Abstract

This study examines factor premia, crisis-linked time variation, and the value–profitability association in emerging markets using monthly Fama–French five-factor returns over an extended sample period. Unconditional factor premia are evaluated using Newey–West heteroskedasticity- and autocorrelation-consistent standard errors, while the HML–RMW relationship is examined against same-period international benchmarks. The analysis also considers crisis-linked subperiod differences, multicollinearity, principal-component structure, unit-root properties, and residual diagnostics. The results show that the value and investment factors carry statistically significant positive premia, while the profitability premium is weaker and the size and market premia are not statistically significant at conventional levels. Value and profitability are inversely associated in the emerging-market sample, although the direction and strength of this relationship differ across international market groups. The crisis-linked analysis also shows differences in factor profiles across the two periods, but the direct mean-shift tests do not provide sufficient evidence of a significant change in unconditional factor premia. Overall, the findings point to selective factor premia, meaningful common variation among some of the factors, and market-specific differences in factor relationships.

Keywords

Emerging markets

factor premia

value–profitability association

Fama–French five-factor model

HAC estimation

Subjects