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Author: Stijn Claessens
Publisher: World Bank Publications
ISBN:
Category : Rate of return
Languages : en
Pages : 28
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Book Description
Author: Stijn Claessens
Publisher: World Bank Publications
ISBN:
Category : Rate of return
Languages : en
Pages : 28
Get Book Here
Book Description
Author: Stijn Claessens
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
Several factors besides m ...
Author: Dasgupta
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: Susmita Dasgupta
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Matthias X. Hanauer
Publisher:
ISBN:
Category :
Languages : en
Pages : 55
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Book Description
Using monthly stock returns from 28 emerging market countries and a total sample period of 21 years, we investigate the predictive power of a broad set of factors. We document that the factor definitions of the Fama and French (2015) five-factor model are less robust compared to alternative factor definitions. In contrast, the anomalous returns associated with cash flow-to-price, gross profitability, composite equity issuance, and momentum are pervasive as they show up in equal- and value-weighted portfolio sorts as well as in cross-sectional regressions. In contrast to financial theory and in line with previous findings, we do not find a positive cross-sectional relationship between risk and return. Finally, return forecasts derived from the alternative factor definitions are superior in their out-of-sample predictive ability to the ones derived from the five-factor model.
Author: Ana Paula Serra
Publisher:
ISBN:
Category :
Languages : en
Pages : 39
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Book Description
This paper looks at the cross-section of stock returns for the particular case of emerging markets. For each of 21 emerging markets I investigate the role of a set of a priori specified factors in the cross-section of returns, and subsequently assess whether the important factors are common. I use new data on emerging markets' individual stocks from the Emerging Markets Data Base. My results indicate that the most important pricing factors are common to the emerging markets in my sample, and that these important factors are similar to those identified for mature markets. Among the top six factors are technical factors and stock price level attributes. The payoffs to these factors are not correlated suggesting that even if investors across markets elect similar factors to price assets, those factors' risk premia are local.
Author: Peter Carman
Publisher: Routledge
ISBN: 9781884964718
Category : Business & Economics
Languages : en
Pages : 386
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Book Description
First Published in 1997. Routledge is an imprint of Taylor & Francis, an informa company.
Author: N. Cakici
Publisher: Springer
ISBN: 1137359072
Category : Business & Economics
Languages : en
Pages : 347
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Book Description
Risk and Return in Asian Emerging Markets offers readers a firm insight into the risk and return characteristics of leading Asian emerging market participants by comparing and contrasting behavioral model variables with predictive forecasting methods.
Author: Michael Hasler
Publisher:
ISBN:
Category :
Languages : en
Pages : 206
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Book Description
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.
