Local return factors and turnover in emerging stock markets

The factors that drive cross-sectional differences in expected stock return s in emerging equity markets are qualitatively similar to those that have b een documented for developed markets. Emerging market stocks exhibit moment um, small stocks outperform large stocks, and value stocks outperform growt h stocks. There is no evidence that high beta stocks outperform low beta st ocks. A Bayesian analysis of the return premiums shows that the combined ev idence of developed and emerging markets strongly favors the hypothesis tha t similar return factors are present in markets around the world. Finally, there exists a strong cross-sectional correlation between the return factor s and share turnover.