A note on transition stock return behaviour.

This paper examines the relationship between expected stock returns and size, and market-to-book ratio in four transition emerging markets, namely the Czech Republic, Hungary, Poland, and Russia. Overall, we find a premium for large firms and growth stocks; factors that drive cross-sectional differences in expected transition stock returns are qualitatively different to those documented for many other emerging and developed equity markets. As our finding applies to the post-1996 period, we confirm the assertion of Black ( Journal of Portfolio Management , 20 , 8-18, 1993) and MacKinlay ( Journal of Financial Economics , 38 , 3-28, 1995) that 'the value premium is sample-specific'. Thus, the higher average return on value stocks that has been documented for developed and emerging equity markets may not be considered as a local manifestation of a global phenomenon. [ABSTRACT FROM AUTHOR]