Hart, J. van der; Zwart, G.J. de; Dijk, D.J.C. van - Erasmus Research Institute of Management (ERIM), ERIM … - 2005
We examine competing explanations, based on risk and behavioral models, for the profitability of stock selection strategies in emerging markets. We document that both emerging market risk and global risk factors cannot account for the significant excess returns of selection strategies based on...