international shocks that result in a general increase in investor risk perceptions. In this paper, we assess the ongoing relevance … investors to sell off EM assets in response to a rise in risk perceptions. Somewhat in contrast, while an upward trend in co … declined, consistent with a diminished level of locally-driven risk in these markets. In addition, the response of EM asset …

investments, we document an outperformance of 100 to 200 bps per year, even after we account for the leverage costs of 100 bps. We … believe our work will open up a new risk investing paradigm for those seeking long-term advantages. …