We show that the introduction of a new asset affects the prices of previously existing assets in a market. Using data from 254 IPOs in emerging markets, we find that stocks in industries that covary highly with the industry of the IPO experience a larger decline in prices relative to other...

The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness...

We use a quantile-based measure of conditional skewness (or asymmetry) that is robust to outliers and therefore particularly suited for recalcitrant series such as emerging market returns. Our study is on the following portfolio returns: developed markets, emerging markets, the world, and...

We examine how emerging market (EM) investors allocate their stock portfolios internationally. Using both country-level and institution-level data, we find that the coming wave of EM investors systematically over- and under-weight their holdings in some target countries. These abnormal foreign...

Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging markets. We confirm these results and extend them in severaldirections. First, we examine a broader range of stock selection strategies, including strategiesbased on analysts'...

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

In the recent financial meltdown along with the developed markets emerging markets too declined sharply casting doubts on their ability to provide diversification benefits. One of the stylized facts of volatility is its negative correlation with the equity market, this in conjunction with the...

In this paper, we estimate several augmented [Treynor and Mazuy1966] models to examine the performance of hedge fund index returns in four different emerging market regions. In our estimations we match the fund returns with the regional emerging market equity and bond index data, which is a...

We seek to identify the culpability of banks in resource misallocation in Mexico, Thailand and Turkey. Specifically we provide evidence of an agency problem in the government and banking systems of the three countries. Where governments pass laws and regulations consistent with modern capitalism...

This paper studies the effect of elections and democracy on bond and equity flows to emerging countries. Our results indicate that elections affect portfolio flows: the period following an election is generally characterised by a fall in equity flows, and this occurs only where the incumbent is...