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A note on transition stock return behaviour.
- Source :
- Applied Economics Letters; 1/15/2004, Vol. 11 Issue 1, p11-13, 3p
- Publication Year :
- 2004
-
Abstract
- 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]
- Subjects :
- STOCK exchanges
ECONOMICS
Subjects
Details
- Language :
- English
- ISSN :
- 13504851
- Volume :
- 11
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Applied Economics Letters
- Publication Type :
- Academic Journal
- Accession number :
- 12057835
- Full Text :
- https://doi.org/10.1080/1350485042000187499