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Predictable Risk and Returns in Emerging Markets

Harvey, Campbell R. - 2010

correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor …

Persistent link: https://www.econbiz.de/10012763467

What Determines Expected International Asset Returns?

Harvey, Campbell R. - 2010

number of innovations. By using the latent factor technique, we do not have to prespecify the sources of risk. We solve for … conditional variation in the returns. We find evidence of a second factor premium which is related to foreign exchange risk. Our … two factor model. Finally, we show that differences in the risk loadings are important in accounting for the cross …

Persistent link: https://www.econbiz.de/10012763249

Conditional Asset Allocation in Emerging Markets

Harvey, Campbell R. - 2010

Within the context of conditional asset allocation strategies, this paper explores the implications of the low correlations of the emerging market returns with developed market returns and the relatively high degree predictability of emerging countries' returns. It is well known that low...

Persistent link: https://www.econbiz.de/10012763465

Sources of Risk and Expected Returns in Global Equity Markets

Ferson, Wayne E. - 2010

This paper empirically examines multifactor asset pricing models for the returns and expected returns on eighteen national equity markets. The factors are chosen to measure global economic risks. Although previous studies do not reject the unconditional mean- variance efficiency of a world...

Persistent link: https://www.econbiz.de/10012763466

Capital Flows and the Behavior of Emerging Market Equity Returns

Bekaert, Geert - 2010

Foreign portfolio flows may reflect deep changes in the functioning of an emerging market economy and its capital markets. Using a database of monthly net U.S. equity flows, we investigate the relation of these flows to the behavior of equity returns, the structural characteristics of the...

Persistent link: https://www.econbiz.de/10012763588

Dating the Integration of World Equity Markets

Bekaert, Geert - 2008

Measuring the integration of world capital markets is notoriously difficult. For example, regulatory changes which appear comprehensive may have little impact on the functioning of the capital market if they fail to lead to foreign portfolio inflows. In contrast to the usual practice of...

Persistent link: https://www.econbiz.de/10012774881