A note on transition stock return behaviour

Paul Jansen and Willem Verschoor

Applied Economics Letters, 2004, vol. 11, issue 1, 11-13

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.

Date: 2004
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DOI: 10.1080/1350485042000187499

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