Return Behavior in Emerging Stock Markets
研究了国际金融公司新兴市场数据库中20个股票市场的回报行为，检验是否存在回报异象和可预测性，发现这些市场很少出现工业市场中常见的季节性和规模效应，但存在回报可预测性。
This article investigates the behavior of stock returns in the twenty stock markets represented in the International Finance Corporation's Emerging Markets Data Base. The aim is to test for return anomalies and predictability. Using statistical methodologies that have identified seasonal and size-based return differences, as well as general return predictability in industrial markets, we find that these emerging markets display few of the same anomalies. In particular, we find limited evidence of turn-of-the-tax-year effects and small-firm effects. We do find, however, evidence of return predictability. Copyright 1995 by Oxford University Press.