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Glamour and Value in the Land of Chingis KhanJames H. AndersonWorld Bank Georges KorsunDeloitte Touche Tohmatsu - Financial Advisory Services Peter MurrellUniversity of Maryland - Department of Economics January 12, 1999 Abstract: 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, P20 working papers seriesDate posted: March 9, 1999Suggested CitationContact Information
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