Local Return Factors and Turnover in Emerging Stock Markets PDF Download
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Author: K. Geert Rouwenhorst
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
The paper shows that the factors that drive cross-sectional differences in expected stock returns in emerging equity markets are qualitatively similar to those that have been found in developed equity markets. In a sample of more than 1700 firms from 20 countries, I find that emerging market stocks exhibit momentum, small stocks outperform large stocks, and value stocks outperform growth stocks. There is no evidence that high beta stocks outperform low beta stocks. A Bayesian analysis of the return premiums shows that the combined evidence of developed and emerging markets strongly favors the hypothesis that similar return factors are present in markets around the world. Finally, the paper documents a strong cross-sectional correlation between the return factors and share turnover. Yet, it is unlikely that liquidity can explain the emerging market return premiums.
Author: K. Geert Rouwenhorst
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
The paper shows that the factors that drive cross-sectional differences in expected stock returns in emerging equity markets are qualitatively similar to those that have been found in developed equity markets. In a sample of more than 1700 firms from 20 countries, I find that emerging market stocks exhibit momentum, small stocks outperform large stocks, and value stocks outperform growth stocks. There is no evidence that high beta stocks outperform low beta stocks. A Bayesian analysis of the return premiums shows that the combined evidence of developed and emerging markets strongly favors the hypothesis that similar return factors are present in markets around the world. Finally, the paper documents a strong cross-sectional correlation between the return factors and share turnover. Yet, it is unlikely that liquidity can explain the emerging market return premiums.
Author: Riza Demirer
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
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Book Description
This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets. Decomposing the term structure of U.S. Treasury yields into two components, the expectations factor and the maturity premium, we show that the U.S. term structure indeed contains predictive information over emerging stock market volatility, even after controlling for country specific factors including turnover and market size. While we observe heterogeneous patterns across emerging markets in terms of their predictability with respect to the U.S. term structure, we find that the market's expectation of future short term rates, implied by the expectations factor, serves as a stronger predictor of stock market volatility compared to the maturity premium component of the yield spread. We also find that the U.S. term structure has gained further predictive value following the global financial crisis, particularly for the BRICS nations of China, Russia, and S. Africa. Overall, our findings suggest that policymakers and investors can utilize interest rate signals from the U.S. Treasury yields to make projections over stock market volatility in their local markets, however, distinguishing between the two components of the yield curve could provide additional forecasting power depending on the country of focus.
Author: Robert A. Korajczyk
Publisher: World Bank Publications
ISBN:
Category : Aktiemarkeder
Languages : en
Pages : 48
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Book Description
Author: Mohamed El Hedi Arouri
Publisher: Springer Science & Business Media
ISBN: 3790823899
Category : Business & Economics
Languages : en
Pages : 214
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Book Description
Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets has been particularly challenged by their fast changes in nature and size under the effects of financial liberalization and reforms. This evolving feature has particularly led to a commensurate increase in sophistication of modeling techniques used for understanding financial markets. In this spirit, the book aims at providing the audience a comprehensive understanding of emerging stock markets in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. On the other hand, it presents and discusses new research findings and their implications.
Author: Victor Silverio Posadas Hernandez
Publisher: Springer Science & Business Media
ISBN: 3835091034
Category : Business & Economics
Languages : en
Pages : 205
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Book Description
Victor Silverio Posadas Hernandez explores three sets of questions: What are the investment laws in the Latin American emerging markets (LAEM) and how do they compare to those of developed countries? How heterogeneous are the implicit trading costs in the LAEM and which factors are responsible for the heterogeneity? How does the predictability of stock returns in the LAEM differ from those documented for developed markets?
Author: Chris Bilson
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
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Book Description
Emerging stock markets have been identified as being at least partially segmented from global capital markets. As a consequence, it has been argued that local risk factors rather than world risk factors are the primary source of equity return variation in these markets. This paper seeks to address the question of whether macroeconomic variables may proxy for local risk sources. We find moderate evidence to support this hypothesis. Further, we investigate the degree of commonality in exposures across emerging stock market returns using a principal components approach. We find little evidence of commonality when emerging markets are considered collectively, however at the regional level considerable commonality is found to exist.
Author: Christopher Barry
Publisher: Wiley
ISBN: 9780943205458
Category : Business & Economics
Languages : en
Pages : 126
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Book Description
Emerging Stock Markets: Risk, Return, and Performance is a compendium of historical data currently available about the performance of securities in emerging markets. As a result, it will be an invaluable aid to the investor or investment manager trying to make informed decisions about investing in emerging market assets. The authors provide monthly stock return data for more than two dozen countries in the Emerging Markets Data Base maintained by the International Finance Corporation. Without such data, analysis of this fascinating asset class has been frustrated.
Author: Malay K. Dey
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
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Book Description
I study the liquidity of global stock exchanges and how it determines cross sectional returns on stock portfolios of the exchanges. I measure liquidity by turnover ratio computed as value of shares traded over the market capitalization. I obtain data from FIBV, an association of global stock exchanges and conduct a univariate analysis of turnover ratio. I find evidence that liquidity is trend weakly stationary for most stock exchanges, however, exchange and time specific factors are more appropriate for modeling liquidity. In a multivariate regression model, I find age, size, type of exchange, competition for order flow, and growth rate to be significant determinants of liquidity. The exchange specific factors are surrogates for the legal systems, English common law, and Civil laws of the countries. I estimate the parameters of a multiple regression model in a two stage GLS framework in which index return is a function of turnover. The significant determinants of index return are size, turnover, and volatility, although some of the volatility effect may be a spillover from a January effect. Investors expect higher return from high turnover markets. The turnover return relation is found to be true only in emerging markets and not in developed markets. This result confirms existing empirical evidence that high turnover stock portfolios generate superior returns.
Author: Stijn Claessens
Publisher: World Bank Publications
ISBN:
Category : Rate of return
Languages : en
Pages : 28
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Book Description
Author: Research Foundation of CFA Institute
Publisher:
ISBN: 9780943205861
Category :
Languages : en
Pages :
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Book Description
