More importantly, while most of the theoretical models which we use to evaluate mutual fund performance are based on the assumption of efficient markets, emerging markets fail to meet these assumptions. Returns in emerging markets suffer from several chronic conditions such as high volatility, high trading cost, non-normality, and infrequent trading (Bekaert and Harvey, 2002). Furthermore, there is still some doubt whether the factors documented in developed markets can also explain stock returns in emerging markets (for example, Claessens et al., 1995; Fama and French, 1998; Rouwenhorst, 1999; Barry et al., 2002; van der Hart et al., 2002). .
