Download or read book Country and Industry Factors in Returns Evidence from Emerging Markets Stocks written by Ana Paula Serra and published by . This book was released on 2007 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the influence of country and industry factors on the cross-sectional variance and correlation structure of returns. I use new data on emerging markets' stocks obtained from the Emerging Markets Data Base. I find that emerging markets' returns are mainly driven by country factors, as it was shown previously in studies for mature markets, and that cross-market correlation is not affected by the industrial composition of the indices. These results have important implications in regard to international portfolio diversification: cross-market diversification seems to be a better bet than cross-industry diversification. A finer industry partition shows, however, that ignoring the industrial mix leads to an important loss of diversification benefits.

Download or read book The Cross section of Stock Returns written by Stijn Claessens and published by World Bank Publications. This book was released on 1995 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Cross Section of Stock Returns written by Stijn Claessens and published by . This book was released on 2016 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several factors besides m ...

Download or read book Local Return Factors and Turnover in Emerging Stock Markets written by K. Geert Rouwenhorst and published by . This book was released on 2001 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Firm Level Evidenceon International Stock Market Comovement written by Mr.Marco Del Negro and published by International Monetary Fund. This book was released on 2003-03-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific shocks. We find a large and highly significant link: on average, a firm raising its international sales by 10 percent raises the exposure of its stock return to global shocks by 2 percent and reduces its exposure to country-specific shocks by 1.5 percent. This link has grown stronger since the mid-1980s.

Download or read book The Cross Sectional Determinants of Returns written by Ana Paula Serra and published by . This book was released on 2008 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Country and Industry Dynamics in Stock Returns written by Mr.Allan Timmermann and published by International Monetary Fund. This book was released on 2003-03-01 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking "pure" country and industry factors are first constructed and their joint dynamics then modeled as regime-switching processes. Estimation using global firm-level data allows us to identify well-defined volatility states over the past thirty years and shows that the contribution of the industry factor becomes systematically more prominent during high global volatility states, while the country factor contribution declines. Using the model's estimates, we find that portfolio diversification possibilities vary considerably across economic states.

Download or read book The New Economy and Global Stock Returns written by Robin Brooks and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Returns and Output Growth in Emerging and Advanced Economies written by Paolo Mauro and published by International Monetary Fund. This book was released on 2000-04 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is no sense in building up a new enterprise at a cost greater than that at which a similar existing enterprise can be purchased; whilst there is an inducement to spend on a new project what may seem an extravagant sum, if it can be floated off on the stock exchange at an immediate profit.

Download or read book Country and Industry Factors in Stock Returns written by Luis Catão and published by . This book was released on 2004 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Cross Section of Stock Returns Evidence from Emerging Markets written by Susmita Dasgupta and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Re emerging Markets written by William N. Goetzmann and published by . This book was released on 1997 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent research shows that emerging markets are distinguished by high returns and low covariances with global market factors. These are striking results because of their immediate implications for the international investor. One key issue is whether these results may be attributed to recent emergence. Most of today's emerging markets are actually re-emerging markets, i.e. markets that attracted international attention earlier in the century, and for various political, economic and institutional reasons experienced discontinuities in data sources. To analyze the effects of conditioning on recent emergence, we simulate a simple, general model of global markets in which markets are priced according to their exposure to a world factor; returns are only observed if the price level exceeds a threshold at the end of the observation period. The simulations reveal a number of new effects. In particular, we find that the brevity of a market history is related to the bias in annual returns as well as to the world beta. These patterns are confirmed by long-term histories of global capital markets and by recent empirical" evidence on emerging and submerged markets. Even though these results can also be explained by alternative theories, the common message is that basing investment decisions on the past performance of emerging markets is likely to lead to disappointing results

Download or read book Selecting Macroeconomic Variables as Explanatory Factors of Emerging Stock Market Returns written by Chris Bilson and published by . This book was released on 2008 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Cross Border Listings Capital Controls and U S Equity Flows to Emerging Markets written by Ms.Hali J. Edison and published by International Monetary Fund. This book was released on 2003-12-01 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze capital flows to emerging markets in a framework that incorporates two quantitative measures of financial integration, the intensity of capital controls and the extent of cross border listings, while controlling for traditional global (push) and country specific (pull) factors. Two important results emerge. First, the cross listing of an emerging market firm on a U.S. exchange is an important but short lived capital flows event, suggesting that the cross listed stock is in effect a new security that U.S. investors quickly bring into their portfolios. Second, the effect of financial liberalization on capital flows is more nuanced than is suggested by event studies: A reduction in capital controls results in increased inflows only when the controls are binding. Among the standard push and pull factors, global factors are important-slack U.S. economic activity is associated with increased flows to emerging markets-and U.S. investors appear to chase expected, but not past, returns.

Download or read book The Cross Section of Stock Returns written by Dasgupta and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Return Predictability Emerging Market Country Allocation written by Lea Rebecca Cederstrand and published by . This book was released on 2008 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: New financial theory suggests that stock return predictability stems from a counter cyclical variation in expected return. Such findings provide a case for active management. This study investigates how investors might capitalize on predictability through short-term country allocation in emerging equity markets. This type of active management is a sub category of Global Tactical Asset Allocation. The appeal of emerging market equity investment is analyzed from a general and a country allocation perspective. It is found, that there is a high scope for diversification benefits and for profit through active management due to low levels of correlation. As emerging markets develop co-movement increases but alignment with developed markets is curbed by the fact that the latter also move more in tandem over time. As such, benefits can be expected to persist for a while. Successful country allocation relies on good return forecasts. The predictive ability of 8 conditioning variables is studied. It appears that output scaled by prices, dividendprice ratios, and price-earnings ratios are the best predictors of return. Inflation and short term interest rates exhibit some predictive ability and there is weak evidence for mean reversion. However, no predictive ability is found using three and six months momentum. Multivariate prediction models are created and used for country allocation. It is problematic to base the construction of such models on the overall evidence of predictability because there is not sufficient commonality in the factors that drive returns. Country allocation based on general prediction models does not generate a higher return than a market capitalization weighted benchmark. It is concluded, that the best prediction models include different conditioning information for every country. Allocation based on such country specific models offers a higher return than the general approach. However, a market capitalization weighted portfolio is still the better

Download or read book Emerging Stock Markets written by Christopher Barry and published by Wiley. This book was released on 2000-04-14 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.