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When bad news is good news : geopolitical risk and the cross-section of emerging market stock returns
Zaremba, Adam; Cakici, Nusret; Demir, Ender; Long, Huaigang - In: Journal of financial stability 58 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013417457
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Global risk factors and stock returns during bull and bear market conditions : evidence from emerging economies in Europe
Demiralay, Sercan - In: Prague economic papers : a bimonthly journal of … 28 (2019) 4, pp. 402-415
Persistent link: https://www.econbiz.de/10012130981
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Accrual Anomaly and Idiosyncratic Risk in Emerging Capital Market
Asri, Marselinus - 2021
when making investments.Risk contained in Financial Accounting come from accrual accounting method. Accrual measurements in … the Balance Sheet are measured using persistence current operating accrual, persistence non-current operating accrual …, persistence financial accrual and accrual anomaly. Accruals in income statement are measured using the accrual anomaly modified …
Persistent link: https://www.econbiz.de/10013238874
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Predictable risk and returns in emerging markets
Harvey, Campbell R. - 1994
Persistent link: https://www.econbiz.de/10000881185
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Time-varying risk and risk premiums in frontier markets
Todorov, Galin; Bidarkota, Prasad V. - In: Journal of emerging markets 18 (2013) 3, pp. 18-35
Persistent link: https://www.econbiz.de/10010519779
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Expected downside risk and asset prices : characteristics of emerging and developed European markets
Ormos, Mihály; Timotity, Dusán - In: Empirica : journal of european economics 44 (2017) 3, pp. 529-546
Persistent link: https://www.econbiz.de/10011782955
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The dynamics of emerging stock markets : empirical assessments and implications
Arouri, Mohamed; Jawadi, Fredj; Nguyen, Duc Khuong - 2010
Persistent link: https://www.econbiz.de/10003888269
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Does idiosyncratic volatility matter in the emerging markets? : Istanbul Stock Exchange evidence
Gökgöz, Fazıl; Altintaş, Ipek - In: Economic research 26 (2013) 3, pp. 133-150
Persistent link: https://www.econbiz.de/10010197022
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When Bad News is Good News : Geopolitical Risk and the Cross-Section of Emerging Market Stock Returns
Zaremba, Adam; Cakici, Nusret; Demir, Ender - 2020
Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical uncertainty outperform their counterparts with the lowest...
Persistent link: https://www.econbiz.de/10014352071
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Predictable Risk and Returns in Emerging Markets
Harvey, Campbell R. - 1994
The emergence of new equity markets in Europe, Latin America, Asia, the Mideast and Africa provides a new menu of opportunities for investors. These markets exhibit high expected returns as well as high volatility. Importantly, the low correlations with developed countries' equity markets...
Persistent link: https://www.econbiz.de/10012474313