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Emerging stock premia : some evidence from industrial stock market data
Donadelli, Michael; Lucchetta, Marcella - 2013
This paper studies the behavior of emerging stock excess returns in an industry-by-industry context. We examine stock market performance for 23 countries and ten industries over 17 years from 1995 to 2012 – a period that includes major changes in capital market regulations, the removal of...
Persistent link: https://www.econbiz.de/10009755648
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The Global Menu of Funds
Betermier, Sebastien - 2020
We analyze the names of over 39,000 equity mutual funds sold in 77 countries between 1931 and 2016 in order to provide an aggregate perspective on the global evolution of mutual fund offerings. Despite the previously documented high degree of fund proliferation, we find that country-level fund...
Persistent link: https://www.econbiz.de/10012848001
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Response of Stock Market Volatility to COVID-19 Announcements and Stringency Measures : A Comparison of Developed and Emerging Markets
Bakry, Walid; Kavalmthara, Peter John; Saverimuttu, Vivienne - 2021
We investigate the relationship between the daily release of COVID-19 related announcements, defensive government interventions, and stock market volatility, drawing upon an extended time period of one year, to independently test, confirm and iteratively improve on previous research findings. We...
Persistent link: https://www.econbiz.de/10013217521
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Foreign Exchange Risk in Microfinance : An Empirical Evidence
Al Azzam, Moh'd - 2014
Misunderstanding of the structure of microcredit interest rates remains a rich source of generating criticism against the industry high interest rates. Research has focused its attention on the cost structure of interest rates and recently on the macroeconomic and macro-institutional factors....
Persistent link: https://www.econbiz.de/10013052460
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Market Development, Information Diffusion and the Global Anomaly Puzzle
Cai, Charlie X. - 2020
Previous literature finds that anomalies are at least as prevalent in developed markets as in emerging markets; namely, the global anomaly puzzle. We show that while market development and information diffusion are linearly related, information diffusion has a nonlinear impact on anomalies. This...
Persistent link: https://www.econbiz.de/10012855140
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Country and Sector Drive Minimum-Volatility Investing in Emerging Markets Too
De Boer, Sanne - 2014
We find that the benefit of minimum-volatility (min-vol) investing in Emerging Markets can be earned through country and sector allocation in lieu of individual stock selection. The country-sector approach delivers implementation benefits such as lower turnover and more liquid holdings, which...
Persistent link: https://www.econbiz.de/10013060285
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Determinants of spreads on sovereign bank loans: The role of credit history
Benczúr, Péter; Ilut, Cosmin - 2006
This paper is an empirical investigation into the role of credit history in determining the spread on sovereign bank loans. It employs an error-in-variables approach used in rational-expectations-macro-econometrics to set up a structural model that links sovereign loan spreads to realized...
Persistent link: https://www.econbiz.de/10010322423
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A Comparison of Cost of Equity Estimates of Local and Global CAPM : Experience from a Developing Country, Mexico
Villarreal, Cuauhtemoc - 2014
rates, we ask if the required returns determined by the Local CAPM model and those determined by the Global CAPM model are … the Local CAPM is 13.83% while that of the Global CAPM is 20.38%. Our discovery that the estimated cost of capital for the …
Persistent link: https://www.econbiz.de/10013065193
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A Practitioner’s Guide to the CAPM : An Empirical Study
French, Jordan - 2018
The most popular method of calculating asset prices is the capital asset pricing model (CAPM). What is the appropriate …? This research looks at the out of sample forecasting capabilities of three popular CAPM ex-post constant beta models from … the pricing, contrary to popular studies that use five to ten years of historical data. There are many different CAPM …
Persistent link: https://www.econbiz.de/10012907773
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Determinants of Spreads on Sovereign Bank Loans : The Role of Credit History
Benczur, Peter; Ilut, Cosmin L. - 2005
This paper is an empirical investigation into the role of credit history in determining the spread on sovereign bank loans. It employs an error-in-variables approach used in rational-expectations-macro-econometrics to set up a structural model that links sovereign loan spreads to realized...
Persistent link: https://www.econbiz.de/10014061276