This discussion paper resulted in a publication in 'Emerging Markets Review',6, Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging markets.

We confirm these results and extend them in severaldirections. First, we examine a broader range of stock selection strategies, including strategiesbased on analysts' earnings revisions. We also consider multivariate strategies, whereby stocks areselected on multiple characteristics, and find that this enhances the overall performance.

Excessreturns also increase if country selection is incorporated into the strategies, but the risk of thestrategies increases proportionally. Second, we test whether the strategies can be implementedsuccessfully in practice by a large institutional investor, facing a lack of liquidity, restrictions onforeign ownership and substantial transaction costs. We find that even under such more realisticcircumstances the strategies earn significant excess returns.

Third, we examine several popularexplanations for the excess returns.

We find no evidence of higher market risk or lower liquidity ofthe strategies. Instead, based on the developments of earnings and earnings revisions afterportfolio formation, we find that the results are consistent with behavioral explanations. This abstract was borrowed from another version of this item. If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page.

Note that these files are not on the IDEAS site. Please be patient as the files may be large. Full text for ScienceDirect subscribers only As the access to this document is restricted, you may want to look for a different version under "Related research" further below or search for a different version of it. Bibliographic Info Article provided by Elsevier in its journal Journal of Empirical Finance. Other versions of this item: Find related papers by JEL classification: G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions G15 - Financial Economics - - General Financial Markets - - - International Financial Markets References References listed on IDEAS Please report citation or reference errors toorif you are the registered author of the cited work, log in to your RePEc Author Service profileclick on "citations" and make appropriate adjustments.: Stigler Stock selection strategies in emerging markets for Study of Economy and State 84, Chicago - Center for Study of Economy and State.

Discussion paper - Tinbergen

The International Evidence ," Journal of FinanceAmerican Finance Association, vol. The International Evidence ," CRSP working papersCenter for Research in Security Prices, Graduate Indikator macd forex of Business, University of Chicago. Eugene F Fama, "undated". Forex open positions, Anthony J, Can They Broker directory stock Explained?

Harvey, Campbell R, Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, pages National Bureau how to get webmoney card Economic Research, Inc.

The Case of Emerging Markets ," Journal of FinanceAmerican Finance Association, vol.

Experience of Emerging Economies] ," The Journal of BusinessUniversity of Chicago Press, vol. La Porta, Rafael, et al, Further Evidence on Market Efficiency ," Journal of FinanceAmerican Finance Association, bombay stock exchange institute delhi. Further Evidence on Market Efficiency ," NBER Working PapersNational Bureau of Economic Research, Inc.

Carhart, Mark M, Experience of Emerging Economies ," The Journal of BusinessUniversity of Chicago Press, vol. Alexander, Gordon J, An Evaluation of Alternative Explanations ," Journal of FinanceAmerican Finance Association, vol.

The case of emerging markets ," Other publications TiSEM stock selection strategies in emerging markets, Tilburg University, School of Economics and Management. Stock trade data visualization Misreaction or Systematic Optimism? Serra, Ana Paula, Implications for Stock Market Efficiency ," Journal of FinanceAmerican Finance Association, vol.

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Stock Selection Strategies in Emerging Markets

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