Glamour and Value in the Land of Chingis Khan

Posted: 5 Jun 2003

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

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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, e.g., data snooping and agency explanations. Risk can explain part of the high returns to value, but much remains unexplained by risk, characteristics, or other standard explanations. The results, which are consistent with many studies of developed stock markets, suggest that prices did not reflect fully publicly available information.

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. Journal of Comparative Economics, Vol. 31, March 2003. Available at SSRN: https://ssrn.com/abstract=408520

James Horton Anderson (Contact Author)

World Bank - Governance Global Practice ( email )

1818 H. Street, N.W.
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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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