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A note on transition stock return behaviour

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  • Paul Jansen
  • Willem Verschoor

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.

Suggested Citation

  • Paul Jansen & Willem Verschoor, 2004. "A note on transition stock return behaviour," Applied Economics Letters, Taylor & Francis Journals, vol. 11(1), pages 11-13.
    • Handle: RePEc:taf:apeclt:v:11:y:2004:i:1:p:11-13
    DOI: 10.1080/1350485042000187499
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