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Author: Shabir Ahmad Hakim
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Shabir Ahmad Hakim
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Ms.Elaine Karen Buckberg
Publisher: International Monetary Fund
ISBN: 145184171X
Category : Business & Economics
Languages : en
Pages : 25
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Book Description
This paper presents a new theory of asset pricing intended to address why other developing country equity markets responded so strongly to the Mexican devaluation, while the world’s major stock markets were unmoved. This phenomenon can be explained if investors follow a two-step portfolio allocation process, first determining what share of their portfolio to invest in developing countries, then allocating those funds across the emerging markets. For 12 of 13 markets studied, the one-factor CAPM is rejected in favor of a two-factor asset pricing model, including both a broad emerging markets portfolio and the global market portfolio.
Author: Shabir Ahmad Hakim
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 678
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Book Description
Emerging markets are associated with developing economies and are structurally different from the developed markets. They offer higher expected returns as they are experiencing higher growth rates and potential for diversifying the risk in global portfolios as they are partially integrated with the developed markets. However, the structural differences coupled with partial integration limit the capability of the asset pricing models, originally designed for the developed markets, to capture risk and return dynamics of the assets in these markets and necessitate customization of the models to the local settings. Many asset pricing studies undertaken in this direction supplement the factors in developed market models with the factors that are unique to the emerging markets. However, the models have limited scope in explaining asset returns due to limited explanatory power of the factors included. This study proposes a multifactor asset pricing model with nine explanatory factors, which include returns on the local and global market portfolios, exchange rate, and returns on six mimicking portfolios that proxy for the common sources of risks associated with size, book to market value of equity, market liquidity, leverage, quality of earnings, and asset liquidity of firms. The last three factors in the model have not been tested in the emerging markets; among these, asset liquidity is introduced as an explanatory factor in asset pricing in this study. The model is tested in seven emerging markets, namely China, India, Indonesia, Malaysia, Thailand, South Africa, and Brazil using ten-year monthly data on non-financial firms over period of January 2004 to December 2013. Generalized method of moments (GMM) is applied for data analysis and model testing. The findings of the study reveal that the local market portfolio is the most dominant factor in all the markets. It subsumes the effects of the global market portfolio and the exchange rate in most of the markets. In addition, consistent cross-country behaviour of size related factor is observed in explaining returns on small and medium portfolios, and of book to market value of equity related factor in explaining returns on high book to market value portfolios. Other factors in the model exhibit different behaviours in different markets indicating presence of idiosyncrasies in the common sources of risks that drive returns in these markets. The newly introduced asset liquidity factor has strong impact on stock returns in four markets: India, Indonesia, Malaysia and South Africa. Furthermore, the new to emerging markets factors leverage and quality of earnings have noticeable influence on stock returns in two markets each; leverage in India and Malaysia, and quality of earnings in China and Brazil. The observed behaviour of the model in the markets studied mirrors the behaviour expected of asset pricing models in emerging markets, which are partially integrated with one another and are in different stages of economic lifecycle.
Author: Robert A. Korajczyk
Publisher: World Bank Publications
ISBN:
Category : Aktiemarkeder
Languages : en
Pages : 48
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Book Description
Author: Heinz Zimmermann
Publisher: John Wiley & Sons
ISBN: 047144555X
Category : Business & Economics
Languages : en
Pages : 340
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Book Description
Reveals new methodologies for asset pricing within a global asset allocation framework. Contains cutting-edge empirical research on global markets and sectors of the global economy. Introduces the Black-Litterman model and how it can be used to improve global asset allocation decisions.
Author: Andrea Kiguel
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
By assuming that investors perceive the shock as permanent and thus price lower mean integration following the segmentation shock, I am able to model the full extent of the change in dividends. The three chapters show that, while integration has broadly increased over time, different asset classes have different responses to globalization. I find that integration is time-varying and that markets can become more segmented; that is, integration is not a one-way street, as many models have assumed in the past. Finally, I show that global factors matter in emerging markets in all asset classes, and identify variance risk as a new risk factor which helps explain why global capital asset pricing models tend to yield low discount rates in these economies. Therefore, researchers and practitioners should take into account the importance of both local and global factors when valuing emerging market assets and take into account that the relative importance of each factor varies over time.
Author: Nasha Ananchotikul
Publisher: International Monetary Fund
ISBN: 1498340229
Category : Business & Economics
Languages : en
Pages : 33
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Book Description
In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global “push” factors. To what extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic Conditional Correlation (DCC) Multivariate GARCH framework to estimate the impact of portfolio flows and the VIX index on three asset prices, namely equity returns, bond yields and exchange rates, in 17 emerging economies. The analysis shows that global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact correlates with country characteristics, including financial openness, the exchange rate regime, as well as macroeconomic fundamentals such as inflation and the current account balance. In line with earlier literature, portfolio flows to emerging markets are also found to affect the level of asset prices, as was the case in particular during the global financial crisis.
Author: Sabur Mollah
Publisher: Springer
ISBN: 1137367547
Category : Business & Economics
Languages : en
Pages : 172
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Book Description
Stock market integration between developing and emerging markets has numerous benefits for creating a global - yet stable - world economy. It increases competition and the efficiency of local markets, in turn reducing price volatility and the cost of capital among integrated markets. It also generates capital flows, which enhance financial stability and spur economic growth. At its core, stock market integration has an important role to play in both developing and emerging markets still reeling from the global financial crisis. Global Stock Market Integration analyzes the financial makeup of developing and emerging markets around the world, providing empirical insights into market integration, co-movements in price, crises, and efficiency linkages. Mobarek and Mollah argue that the relationship between market integration and market efficiency within developing and emerging countries is not the only measure necessary for effecting real financial growth. This work brings the review of theories and empirical research on the topic up-to-date and expands the existing literature with new perspectives on developed and emerging markets.
Author: Campbell R. Harvey
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 66
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Book Description
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 significantly reduces the unconditional portfolio risk of a world investor. However, standard global asset pricing models, which assume complete integration of capital markets, fail to explain the cross-section of average returns in emerging countries. An analysis of the predictability of the returns reveals that emerging market returns are more likely than developed countries to be influenced by local information.
Author: Jerome Booth
Publisher: John Wiley & Sons
ISBN: 1118879678
Category : Business & Economics
Languages : en
Pages : 280
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Book Description
The world is upside down. The emerging market countries are more important than many investors realise. They have been catching up with the West over the past few decades. Greater market freedom has spread since the end of the Cold War, and with it institutional changes which have further assisted emerging economies in becoming more productive, flexible, and resilient. The Western financial crisis from 2008 has quickened the pace of the relative rise of emerging markets - their relative economic power, and with it political power, but also their financial power as savers, investors and creditors. Emerging Markets in an Upside Down World - Challenging Perceptions in Asset Allocation and Investment argues that finance theory has misunderstood risk and that this has led to poor investment decisions; and that emerging markets constitute a good example of why traditional finance theory is faulty. The book accurately describes the complex and changing global environment currently facing the investor and asset allocator. It raises many questions often bypassed because of the use of simplifying assumptions and models. The narrative builds towards a checklist of issues and questions for the asset allocator and investor and then to a discussion of a variety of regulatory and policy issues. Aimed at institutional and retail investors as well as economics, finance, business and international relations students, Emerging Markets in an Upside Down World covers many complex ideas, but is written to be accessible to the non-expert.
