Local return factors and turnover in emerging stock markets

Journal of Finance

Volumn 54, Issue 4, 1999, Pages 1439-1464

  Rouwenhorst, K Geert ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0012584954     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00151     Document Type: Article

References (36)

1. Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249.
2. Anchour, Dana, Campbell R. Harvey, Greg Hopkins, and Clive Lang, 1998, Stock selection in emerging markets: Portfolio strategies for Malaysia, Mexico, and South Africa, Emerging Markets Quarterly 2, 38-91.
3. Banz, Rolf W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18.
4. Bekaert, Geert, Claude Erb, Campbell R. Harvey, and Tadas Viskanta, 1997, What matters in emerging markets investments?, Emerging Market Quarterly 1, 1-30.
5. Bekaert, Geert, and Campbell R. Harvey, 1995, Time-varying world market integration, Journal of Finance 50, 403-444.
6. Bekaert, Geert, and Campbell R. Harvey, 1997a, Emerging equity market volatility, Journal of Financial Economics 43, 29-77.
7. Bekaert, Geert, and Campbell R. Harvey, 1997b, Foreign speculators and emerging equity markets Working paper 1441, Graduate School of Business, Stanford University.
8. Berk, Jonathan, 1995, A critique of size related anomalies, Review of Financial Studies 8, 275-286.
9. Berk, Jonathan B, Richard C. Green, and Vasant Naik, 1998, Optimal investment, growth options, and security returns, Journal of Finance, forthcoming.
10. Chalmers, John M. R., and Gregory B. Kadlec, 1998, An empirical examination of the amortized spread, Journal of Financial Economics 48, 159-188.
11. Chan Louis K. C., Jason Karceski, and Josef Lakonishok, 1997, The risk and return from factors, mimeo, University of Illinois.
12. Claessens, Stijn, Susmita Dasgupta, and Jack Glen, 1998 The cross section of stock returns: Evidence from emerging markets, Emerging Markets Quarterly 2, 4-13.
13. Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, 1998, Investor psychology and security market under-and overreactions, Journal of Finance 53, 1839-1885.
14. Daniel, Kent and Sheridan Titman, 1997, Evidence on the characteristics of cross-sectional variation in stock returns, Journal of Finance 52, 1-34.
15. Datar Vinay T., Narayan Y. Naik, and Robert Radcliffe, 1998, Liquidity and stock returns: An alternative test, Working paper, London Business School.
16. Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 67, 427-465.
17. Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84.
18. Fama, Eugene F., and Kenneth R. French, 1998, Value versus growth: The international evidence, Journal of Finance 53, 1975-2000.
19. Fama, Eugene F, and James MacBeth, 1993, Risk, return and equilibrium: Empirical test, Journal of Political Economy 81, 607-636.
20. Goetzmann, William N., and Philippe Jorion, 1999, Re-emerging markets, Journal of Financial and Quantitative Analysis, forthcoming.
21. Harvey, Campbell R., 1995, Predictable risk and return in emerging markets, Review of Financial Studies 8, 773-816.
22. Haugen, Robert A, Nardin, L. Baker, 1996, Commonality in the determinants of expected stock returns, Journal of Financial Economics 41, 401-439.
23. Heston, Steven L., K. Geert Rouwenhorst, and Roberto E. Wessels, 1995, The structure of International stock returns and the integration of capital markets, Journal of Empirical Finance 2, 173-197.
24. Heston, Steven L., K. Geert Rouwenhost, and Roberto E. Wessels, 1999, The role of beta and size in the cross-section of European stock returns, European Financial Management 5, 9-27.
25. Hong, Harrison and Jeremy C. Stein, 1997, A unified theory of underreaction, momentum trading, and overreaction in asset markets, Working paper, Sloan School of Management, MIT.
26. Hu, Shing-yang, 1997, Trading turnover and expected stock returns: The trading frequency hypotheses and evidence from the Tokyo stock exchange, Working paper, National Taiwan University and University of Chicago.
27. Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91.
28. Kothari, S. P., Jay Shanken, and Richard G. Sloan, 1995, Another look at the cross-section of expected returns, Journal of Finance 50, 185-224.
29. Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1994, Contrarian investment, extrapolation and risk, Journal of Finance 49, 1541-1578.
30. Lo, Andrew W., and A. Craig MacKinlay, 1990, Data-snooping biases in tests of asset pricing models, Review of Financial Studies 3, 431-467.
31. Lo, Andrew W., and Jiang Wang, 1997, Trading volume: definitions, data analysis and implications of portfolio theory, Working paper, Sloan School of Management, Massachusetts Institute of Technology.
32. Loughran, Tim, 1997, Book-to-market across firm size, exchange, and seasonality: Is there an effect?, Journal of Financial and Quantitative Analysis 32, 249-268.
33. MacKinlay, A. Craig, 1995, Multifactor models do not explain deviations from the Capital Asset Pricing Models, Journal of Financial Economics 38, 3-28.
34. Odean, Terrance, 1998, Are investors reluctant to realize their losses?, Journal of Finance 53, 1775-1798.
35. Patel, Sandeep A., 1998, Cross-sectional variation in emerging markets equity returns January 1988-March 1997, Emerging Markets Quarterly 2, 57-70.
36. Rouwenhorst, K. Geert, 1998, International momentum strategies, Journal of Finance 53, 267-284.