http://repub.eur.nl/res/aut/14179/ List of Publications en http://repub.eur.nl/static-eur/img/logo.png http://repub.eur.nl http://repub.eur.nl/res/pub/11140/ 2005-09-01T00:00:00Z 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 value, momentum and earnings revisions indicators. The findings for value and momentum strategies are consistent with the evidence from developed markets supporting behavioral explanations. In addition, for value stocks, the most important behavioral bias appears to be related to underestimation of long-term growth prospects, as indicated by above average earnings revisions for longer post-formation horizons and by quite rapidly improving earnings growth expectations. Furthermore, we find that overreaction effects play a limited role for the earnings revisions strategy, as there is no clear return reversal until five years after portfolio formation, setting this strategy apart from momentum strategies. http://repub.eur.nl/res/pub/11147/ 2003-02-01T00:00:00Z We examine the profitability of a broad range of stock selection strategies in 32 emerging markets over the period 1985–1999. Value, momentum and earnings revisions strategies are most successful and generate significant excess returns, in contrast to strategies based on size, liquidity and mean reversion. The performance of the strategies can be enhanced by selecting stocks on multiple characteristics and by incorporating country selection, although the latter bears the cost of increased risk. We do not find a pronounced effect of financial market liberalization on the performance of the strategies. There is no evidence that global risk factors can account for the excess returns of selection strategies. Finally, we document that the strategies can be implemented successfully in practice by a large institutional investor, facing a lack of liquidity and substantial transaction costs.