Glamour and Value in the Land of Chingis Khan

55 Pages Posted: 9 Mar 1999

See all articles by James H. Anderson

James H. Anderson

World Bank - Governance Global Practice

Georges Korsun

Deloitte Touche Tohmatsu - Financial Advisory Services

Peter Murrell

University of Maryland - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: 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.

JEL Classification: G12, G14, P20

Suggested Citation

Anderson, James Horton and Korsun, Georges and Murrell, Peter, Glamour and Value in the Land of Chingis Khan (January 12, 1999). Available at SSRN: https://ssrn.com/abstract=149770 or http://dx.doi.org/10.2139/ssrn.149770

James Horton Anderson (Contact Author)

World Bank - Governance Global Practice ( email )

1818 H. Street, N.W.
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Washington, DC 20433
United States
202-458-1556 (Phone)

HOME PAGE: http://blogs.worldbank.org/team/jim-anderson

Georges Korsun

Deloitte Touche Tohmatsu - Financial Advisory Services ( email )

2 World Financial Center
New York, NY 10281
United States
212-436-5981 (Phone)
212-653-3776 (Fax)

HOME PAGE: http://www.deloitte.com/us/economics-statistics

Peter Murrell

University of Maryland - Department of Economics ( email )

College Park, MD 20742
United States
301-405-3476 (Phone)
301-405-3542 (Fax)

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