Glamour and Value in the Land of Chingis Khan
James H. Anderson
Deloitte Touche Tohmatsu - Financial Advisory Services
University of Maryland - Department of Economics
January 12, 1999
Patterns in the cross-section of returns from stocks bought (for vouchers) in Mongolia's privatization program mirror those from developed countries: stocks in companies with high book-to-market ratios subsequently earned returns far bigger than those in companies with low ratios, a result very robust to changes in specification and sample. Features of privatization and of sample generation lead to quick dismissal of certain explanations appearing in previous studies (survivorship, data snooping, and agency). Moreover, risk cannot fully explain the high returns to value. We argue for the unsettling proposition that people bought shares without full regard to price.
Number of Pages in PDF File: 55
JEL Classification: G12, G14, P20working papers series
Date posted: March 9, 1999
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