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Studies of Equity Returns in Emerging Markets : A Literature Review
Atilgan, Yigit - 2015
predictability and volatility modeling as well as restricting the review to the set of top journals in finance and those that …
Persistent link: https://www.econbiz.de/10013033507
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Size, Value, and Momentum in Emerging Market Stock Returns : Integrated or Segmented Pricing?
Hanauer, Matthias X. - 2015
In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions - Latin America, EMEA, Asia, and BRIC. We document a strong and highly significant value effect, and a strong but less significant momentum effect. Substantial value and momentum...
Persistent link: https://www.econbiz.de/10013034756
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Cross-sectional returns predictability for emerging market banks : a study on Indian banking system
Mohapatra, Sabyasachi; Misra, Arun Kumar - In: Cogent economics & finance 7 (2019) 1, pp. 1-17
Using Indian bank-level data, we examine the cross-sectional returns predictability for banking stocks in view of the distinct industry parameters prevalent in the financial services space. We find the existence of abnormal returns in banking stocks. We also observe that the celebrated...
Persistent link: https://www.econbiz.de/10012023368
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Cryptocurrency-Related Announcements and Stock Returns : Emerging Market Evidence
Kakinuma, Yosuke - 2022
response, but it is accompanied by increased volatility spilled over from cryptocurrency, raising concern for higher risk …
Persistent link: https://www.econbiz.de/10014236660
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Aggregate Earnings and Expected Stock Returns in Emerging Markets
Demirtas, K. Ozgur - 2012
This paper examines the time-series predictability of aggregate stock returns in 20 emerging markets. In contrast to the aggregate-level findings in US, earnings yield forecasts the time-series of aggregate stock returns in emerging markets. We consider aggregate earnings not as normalizing...
Persistent link: https://www.econbiz.de/10013115711
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Testing mispricing-augmented factor models in an emerging market : a quest for parsimony
Ali, Fahad - In: Borsa Istanbul Review 22 (2022) 2, pp. 272-284
This study is the first to test a financing-based misvaluation factor (UMO, undervalued-minus-overvalued), first proposed by Hirshleifer and Jiang (2010), for the Pakistani stock market. I find that the UMO factor, long underpriced (repurchase) stocks and short overpriced (new issue) stocks,...
Persistent link: https://www.econbiz.de/10013184079
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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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The Volatility Effect in Emerging Markets
Blitz, David - 2012
, but consistent with the results of studies for developed equity markets. The volatility effect appears to be growing …. Finally, we find that the volatility effect in emerging markets is only weakly related to that in developed equity markets …
Persistent link: https://www.econbiz.de/10013107005
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Whether Cross-Listing, Stock-Specifi c and Market-Wide Calendar Events Impact Intraday Volatility Dynamics? Evidence from the Indian Stock Market Using High-Frequency Data
Agarwalla, Sobhesh Kumar - 2012
intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF regressions, we examine the … volatility dynamics. We find that Indian stock market exhibits 'reverse J' shaped intraday volatility with much higher intraday … to small cap stocks. Higher volatility is also observed in the first one-hour of trade after weekends, in the first half …
Persistent link: https://www.econbiz.de/10013097346
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The Volatility Effect in Emerging Markets
Blitz, David - 2013
, but consistent with the results of studies for developed equity markets. The volatility effect appears to be growing …. Finally, we find that the volatility effect in emerging markets is only weakly related to that in developed equity markets …
Persistent link: https://www.econbiz.de/10013083432