Local Return Factors and Turnover in Emerging Stock Markets

  title={Local Return Factors and Turnover in Emerging Stock Markets},
  • 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
Highly Cited
This paper has 126 citations. REVIEW CITATIONS


Publications citing this paper.

127 Citations

Citations per Year
Semantic Scholar estimates that this publication has 127 citations based on the available data.

See our FAQ for additional information.


Publications referenced by this paper.
Showing 1-10 of 27 references

Re-emerging markets, Journal of Financial and Quantitative Analysis, forthcoming

Goetzmann, N William, Philippe Jorion

The role of beta and size in the cross-section of European stock returns

Heston, L Steven, K. Geert Rouwenhorst, Roberto E. Wessels
European Financial Management • 1999

An empirical examination of the amortized spread

Chalmers, R JohnM., Gregory B. Kadlec
Journal of Financial Economics • 1998

Cross-sectional variation in emerging markets equity returns January 1988–March

Patel, A Sandeep
Emerging Markets Quarterly • 1998

Liquidity and stock returns: An alternative test, Working paper, London Business School

Datar, T Vinay, Narayan Y. Naik, Robert Radcliffe

Stock selection in emerging markets: Portfolio strategies for Malaysia, Mexico, and South Africa

Anchour, Dana, Campbell R. Harvey, Greg Hopkins, Clive Lang
Emerging Markets Quarterly • 1998

Similar Papers

Loading similar papers…