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.

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doi.org/10.1016/S0927-5398(02)00022-1, hdl.handle.net/1765/11147
Journal of Empirical Finance
Erasmus Research Institute of Management

van Dijk, D., Hart, J., & Slagter, E. (2003). Stock selection strategies in emerging markets. Journal of Empirical Finance (Vol. 10, pp. 105–132). doi:10.1016/S0927-5398(02)00022-1