The cross-section of stock returns :
            evidence from emerging markets
Cross-sectional tests of asset returns
            have a long tradition in finance.  The often-used capital
            asset pricing model (CAPM) and the arbitrage pricing theory
            both imply cross-sectional relationships between individual
            asset returns and other factors, and tests of those models
            have done much to increase understanding of how markets
            price risk.  But much about the way assets are priced
            remains unclear.  After much testing, numerous empirical
            anomalies about the CAPM cast doubt on the central
            hypothesis of that theory: that on a cross-sectional basis a
            positive relationship exists between asset returns and
            assets' relative riskiness as measured by their Bs
            (beta being the ratio of the covariance of an asset's
            return with the market return to the variance of the market
            return).  As tenuous as the relationship between B and
            returns may be, other risk factors apparently influence U.S.
            equity market returns significantly: market capitalization
            (or size), earnings-price ratios, and book-to-market value
            of equity ratios.  Once these factors are included as
            explanatory variables in the cross-sectional model, the
            relationship between B and returns disappears.  Much
            "international" empirical work has focused on more
            developed markets, especially Japan and the United Kingdom,
            with some evidence from other European markets as well.  The
            international evidence largerly confirms the hypothesis that
            other factors besides B are important in explaining asset
            returns.  The authors expand the empirical evidence on the
            nature of asset returns by examining the cross-sectional
            pattern of returns in the emerging markets.  Using data from
            the International Finance Corporation for 19 developing
            country markets, they examine the effect on asset returns of
            several risk factors in addition to B.  They find that, in
            addition to B, two factors - size and trading volume - have
            significant explanatory power in a number of these markets.
            Dividend yield and earnings-price ratio are also important,
            but in slightly fewer markets.  For several of the markets
            studied, the relationship between all four of these
            variables and returns is contrary to the relationship
            documented for U.S. and Japanese markets.  In several
            countries, exchange-rate risk is a significant factor.  With
            independent new empirical evidence introduced into the
            asset-pricing debate, future research must now cope with the
            idea that any theory hoping to explain asset pricing in all
            markets must explain how factors can be priced differently
            simply by crossing an international border.  Is it market
            microstructure that causes these substantial differences?
            Or (perhaps more likely) do regulatory and tax regimes force
            investors to behave differently in various countries?  As a
            final hypothesis, can any of these results be attributed to
            the segmentation or increasing integration of financial
            markets?  The authors offer little evidence on these
            questions but hope their results will spur further work on
            the cross-sectional relationship of markets and of assets in
            testing asset pricing theories.