Local Return Factors and Turnover in Emerging Stock Markets

@inproceedings{ROUWENHORST1998LocalRF,
  title={Local Return Factors and Turnover in Emerging Stock Markets},
  author={K. GEERT ROUWENHORST},
  year={1998}
}
  • K. GEERT ROUWENHORST
  • Published 1998
The factors that drive cross-sectional differences in expected stock returns in emerging equity markets are qualitatively similar to those that have been documented for developed markets. Emerging market stocks exhibit momentum, small stocks outperform large stocks, and value stocks outperform growth stocks. There is no evidence that high beta stocks outperform low beta stocks. A Bayesian analysis of the return premiums shows that the combined evidence of developed and emerging markets strongly… CONTINUE READING
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