Patterns in the cross-section of returns from stocks bought for vouchers in Mongolia's privatization program mirror those from developed countries. Stocks in companies with high book-to-market ratios subsequently earned returns far bigger than those in companies with low ratios, a result very robust to changes in specification and sample. Features of privatization and of sample generation lead to quick dismissal of certain explanations appearing in previous studies, e.g., data snooping and agency explanations. Risk can explain part of the high returns to value, but much remains unexplained by risk, characteristics, or other standards explanations. The results, which are consistent with many studies of developed stock markets, suggest that prices did not reflect fully publicly available information.