Similar Search Results

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

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

Investor Competence, Trading Frequency, and Home Bias

Graham, John R. - 2010

People are more willing to bet on their own judgments when they feel skillful or knowledgeable (Heath and Tversky (1991)). We investigate whether this quot;competence effectquot; influences trading frequency and home bias. We find that investors who feel competent trade more often and have a...

Persistent link: https://www.econbiz.de/10012762441

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

An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns

Ferson, Wayne E.; Harvey, Campbell R. - 2021

This paper studies average and conditional expected returns in national equity markets, and their relation to a number of fundamental country attributes. The attributes are organized into three groups. The first is relative valuation ratios, such as price-to-book-value, cash-flow, earnings and...

Persistent link: https://www.econbiz.de/10013218524