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Author: Ayelen Banegas
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Ayelen Banegas
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Maria Ayelen Banegas
Publisher:
ISBN: 9781124784649
Category : Economic forecasting
Languages : en
Pages : 184
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Book Description
This dissertation seeks to better understand the underlying factors driving financial performance and economic activity in international markets. The first chapter "Predictability of Growth in Emerging Markets: Information in Financial Aggregates" tests for predictability of output growth in a panel of twenty-two emerging market economies. I use pooled panel data methods that control for endogeneity and persistence in the predictor variables to test the predictive power of a large set of financial aggregates including valuation measures, interest rates, and capital flows. I find empirical evidence that stock returns, portfolio investment flows, the term spread and default spreads help predict output growth in emerging markets. In particular, large capital inflows predict subsequent high GDP growth as do high term spreads. Conversely, higher default spreads on emerging market government debt signals lower future GDP growth. Results also suggest that the performance of global aggregates such as commodity markets, a cross-sectional firm size factor, and returns on the market portfolio contain information about the future state of the economy. I benchmark my results against the US and find that there are differences in information flows and the role of capital markets in predicting economic growth. My analysis extends previous findings in the macro-finance literature on the links between the real economy and financial market performance. Within emerging markets, a largely unexplored area of research is related to the study of mutual funds performance. In my second chapter, "Emerging Market Mutual Fund Performance and the State of the Economy" I propose a set of asset class specific predictive variables and exploit them in order to identify those funds that outperform the market in different phases of the economic cycle. I employ a comprehensive survivorship-bias free universe of global and regional emerging market funds and use a Bayesian framework that incorporates predictability in manager skills (stock selection and benchmark timing skills), fund risk loadings and benchmark returns by exploiting ex-ante business cycle related state variables. Results provide empirical evidence of return predictability and the economic value of active management in emerging markets. My final dissertation chapter studies market integration and segmentation and their effects on return predictability. In "Mutual Fund Return Predictability in Partially Segmented Markets" (co-authored with B. Gillen, A. Timmermann and R. Wermers) we generalize existing models for Bayesian asset selection by considering both integrated and partially segmented market models. We find that regional state variables can be used to identify a significant time-varying alpha component among a large sample of funds with a pan- European, European country, or European sector focus. Specifically, the default yield spread, term spread, dividend yield, short interest rate and market volatility, as well as macroeconomic variables tracking consumer price inflation and growth in industrial production prove valuable in identifying, ex-ante, funds with superior performance. Our analysis also suggests that allowing for segmentation in market risk factors enhances risk-adjusted performance.
Author: Bora Ozkan
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
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This essay searches for a link between house prices, broad money, private credit and the macro-economy among 19 emerging markets. We also explain which variables predict the emerging markets house price index returns. The analysis consists of data for 19 emerging markets spanning the period 1966-2012. To investigate the relationship among our variables as well as the direction of the relationship, we used Fixed-Effects Panel Data Approach, Vector Auto-Regression, Granger Causality, and Variance Decomposition analysis. Using the fixed effects panel data approach, this paper analyzes the variation in 19 emerging markets house price index returns. Our results show that money market rate, growth in GDP and CPI as well as log of private credit (D) and money supply (M3) have significant predictive power on growth in house price indices a quarter ahead. There is a strong negative correlation between the growth in house price indices and the lagged money market rates and private credit. There is a strong positive correlation between the growth in house price indices and the lagged growth in GDP, CPI and log of M3. When we look at different regions, we show that in Eastern Europe only GDP has a predictive power whereas in Asia MMR, D as well as M3 has statistically significant predictive power. Granger causality tests for each country reveals strong evidence of multi-directional link between house prices, GDP, CPI, interest rates, money, and credit. House prices significantly affect the future broad money, private credit and macro variables. When we look at the variance decomposition, in almost every country we investigated, forecast errors to GDP, CPI and money market rate play an important role in explaining innovations to the house price index returns.
Author: Dongwei Su
Publisher: World Scientific
ISBN: 9814491799
Category : Business & Economics
Languages : en
Pages : 454
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Book Description
The exponential growth of China's stock markets in the past decade has attracted global attention from academics and practitioners. The practitioner's interest in Chinese markets stems from corporations; investors and financial institutions foresee substantial benefits from investing in China in the long run. However, the academic literature on the development of securities markets and reform of state enterprises in China is still in its infancy and fragmented. This handbook aims to bridge that gap by presenting a wide spectrum of research in the forefront of financial applications. It integrates theory and practice with state-of-the-art statistical techniques and provides numerous insights into the main challenges confronting Chinese markets in the new millennium.
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: Maria Laura Gómez Mera
Publisher: World Bank Publications
ISBN: 9781464803710
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
This study analyzes the characteristics, motivations, strategies, and needs of FDI from emerging markets. It draws from a survey of investors and potential investors in Brazil, India, South Korea, and South Africa.
Author: Gordian Gaeta
Publisher: John Wiley & Sons
ISBN: 1118247183
Category : Business & Economics
Languages : en
Pages : 342
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Book Description
The practical guide to investing in emerging markets Though potentially risky, investing in emerging markets can offer extremely attractive returns. Opportunities in Emerging Markets offers practical advice for investors based on the real life experiences—both positive and negative—of practitioners, pioneer investors, and local heroes with experience in frontier markets. Exploring how every developing market has its own unique regional cultures and social structures that change the way investors invest, and must be understood in order to make wise investments, the book combines standard approaches to investing with the exigencies of frontier markets to create an invaluable framework for success. A collection of useful ideas that investors—institutions, general partners, limited partners, or shareholders—can draw upon when investing money in emerging markets, the book includes essential information on one of the most attractive opportunities for beating traditional markets and investments. If access, downside, and predictability can be managed, there's a great deal of money to be made in emerging markets, and this book shows how. Both investors and investment managers need to understand fundamental success factors, real framework conditions, and hidden pitfall and in Opportunities in Emerging Markets, author Gordian Gaeta analyses these intricacies in depth. Gives investors of all kinds the information they need to succeed in emerging markets Incorporates real life experiences—both good and bad—to help readers avoid common mistakes and maximize their returns Includes interviews with Mark Mobius, Jim Rogers, Marc Faber, and other leading names in the emerging markets sector For those traders brave enough to engage in high-risk/high-return investing, Opportunities in Emerging Markets is an excellent overview of the world's toughest frontier markets and how to conquer them. Featuring interviews with some of the top investors in the field, this is the definitive guide to the perils and pitfalls of investing in these highly volatile markets.
Author: Mr.Faisal Ahmed
Publisher: International Monetary Fund
ISBN: 1463926529
Category : Business & Economics
Languages : en
Pages : 26
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Book Description
Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience interested in economic policy issues. This Web-only series replaced Staff Position Notes in January 2011.
Author: Saul Estrin
Publisher: Edward Elgar Publishing
ISBN: 9781781956465
Category : Business & Economics
Languages : en
Pages : 392
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Book Description
"The book investigates foreign direct investment (FDI) strategies in four important emerging economies: Egypt, India, South Africa and Vietnam. These countries liberalized their economies in the 1990s with the intention of attracting greater FDI inflows. This book assesses whether they have been successful in achieving this goal. The authors adopt a comparative perspective and use a large enterprise survey plus three individual case studies in each country. They investigate the strategies of foreign direct investors focusing on the relationship between the investment climate, the mode of entry (acquisition, greenfield or joint venture), company performance, and spillovers to the host economy. The book outlines how the interactions between international businesses and the local policy environment influence the entry strategies of firms. Academics and researchers with an interest in international business, emerging markets, economic development and strategic management will find this book informative and insightful."--BOOK JACKET.
Author: Chris Zook
Publisher: Harvard Business Review Press
ISBN: 1633691179
Category : Business & Economics
Languages : en
Pages : 223
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Book Description
A Washington Post Bestseller Three Principles for Managing—and Avoiding—the Problems of Growth Why is profitable growth so hard to achieve and sustain? Most executives manage their companies as if the solution to that problem lies in the external environment: find an attractive market, formulate the right strategy, win new customers. But when Bain & Company’s Chris Zook and James Allen, authors of the bestselling Profit from the Core, researched this question, they found that when companies fail to achieve their growth targets, 90 percent of the time the root causes are internal, not external—increasing distance from the front lines, loss of accountability, proliferating processes and bureaucracy, to name only a few. What’s more, companies experience a set of predictable internal crises, at predictable stages, as they grow. Even for healthy companies, these crises, if not managed properly, stifle the ability to grow further—and can actively lead to decline. The key insight from Zook and Allen’s research is that managing these choke points requires a “founder’s mentality”—behaviors typically embodied by a bold, ambitious founder—to restore speed, focus, and connection to customers: • An insurgent’s clear mission and purpose • An unambiguous owner mindset • A relentless obsession with the front line Based on the authors’ decade-long study of companies in more than forty countries, The Founder’s Mentality demonstrates the strong relationship between these three traits in companies of all kinds—not just start-ups—and their ability to sustain performance. Through rich analysis and inspiring examples, this book shows how any leader—not only a founder—can instill and leverage a founder’s mentality throughout their organization and find lasting, profitable growth.
