search query: @author Rouwenhorst, K. G. / total: 4
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| Author: | Rouwenhorst, K. G. |
| Title: | Local return factors and turnover in emerging stock markets. |
| Journal: | Journal of Finance
1999 : AUG, VOL. 54:4, p. 1439-1464 |
| Index terms: | Stock markets Emerging markets Bayesian statistics |
| Language: | eng |
| Abstract: | The paper examines the cross section of returns in 20 emerging markets using data of 1750 individul stocks. It is found that the return factors in emerging markets are qualitatively similar to those in developed markets: small stocks outperform large stocks, value stocks ourperform growth stocks and emerging market stocks exhibit momentum. A Bayesian analysis of the return premiums shows that the combined evidence of developed and emerging markets strongly favors the hypothesis that similar return factors are present in markets around the world. There exists a strong cross-sectional correlation between the return factors and share turnover. |
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