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Asset Pricing In Emerging Markets
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Book Synopsis Institutional Investors and Asset Pricing in Emerging Markets by : Ms.Elaine Karen Buckberg
Download or read book Institutional Investors and Asset Pricing in Emerging Markets written by Ms.Elaine Karen Buckberg and published by International Monetary Fund. This book was released on 1996-01-01 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Asset Pricing in Emerging Markets by : Shabir Ahmad Hakim
Download or read book Asset Pricing in Emerging Markets written by Shabir Ahmad Hakim and published by . This book was released on 2015 with total page 678 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis The Cross-section of Stock Returns by : Stijn Claessens
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:
Book Synopsis Asset Pricing in Emerging Markets by :
Download or read book Asset Pricing in Emerging Markets written by and published by . This book was released on 2014 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing in Emerging Markets by : Yusuf Begg
Download or read book Asset Pricing in Emerging Markets written by Yusuf Begg and published by . This book was released on 2008 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Measure of Stock Market Integration for Developed and Emerging Markets by : Robert A. Korajczyk
Download or read book A Measure of Stock Market Integration for Developed and Emerging Markets written by Robert A. Korajczyk and published by World Bank Publications. This book was released on 1995 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Asset Pricing in Emerging Markets by : Juan José Cruces
Download or read book Essays on Asset Pricing in Emerging Markets written by Juan José Cruces and published by . This book was released on 2001 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Structural Change and Asset Pricing in Emerging Markets by : René Garcia
Download or read book Structural Change and Asset Pricing in Emerging Markets written by René Garcia and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Structural Change and Asset Pricing in Emerging Markets by : René Garcia
Download or read book Structural Change and Asset Pricing in Emerging Markets written by René Garcia and published by . This book was released on 1996 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Structural Change and Asset Pricing in Emerging Markets by : Garcia, René
Download or read book Structural Change and Asset Pricing in Emerging Markets written by Garcia, René and published by Montréal : CIRANO. This book was released on 1996 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Economics of Emerging Markets by : Lado Beridze
Download or read book Economics of Emerging Markets written by Lado Beridze and published by Nova Publishers. This book was released on 2008 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents recent significant research dealing the economics of emerging markets. The term emerging markets is commonly used to describe business and market activity in industrialising or emerging regions of the world. The term is sometimes loosely used as a replacement for emerging economies, but really signifies a business phenomenon that is not fully described by or constrained to geography or economic strength; such countries are considered to be in a transitional phase between developing and developed status. Examples of emerging markets include China, India, Mexico, Brazil, much of Southeast Asia, countries in Eastern Europe, parts of Africa and Latin America. An emerging market is sometimes defined as "a country where politics matters at least as much as economics to the markets."
Book Synopsis Institucional Investors and Asset Pricing in Emerging Markets by : Elaine Buckberg
Download or read book Institucional Investors and Asset Pricing in Emerging Markets written by Elaine Buckberg and published by . This book was released on 1996 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets by : Nasha Ananchotikul
Download or read book Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets written by Nasha Ananchotikul and published by International Monetary Fund. This book was released on 2014-08-19 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Modelling Asset Pricing in Emerging Markets by : Javed Iqbal (Ph.D.)
Download or read book Modelling Asset Pricing in Emerging Markets written by Javed Iqbal (Ph.D.) and published by . This book was released on 2008 with total page 602 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Institutional Investors and Asset Pricing in Emerging Markets by : Elaine Buckberg
Download or read book Institutional Investors and Asset Pricing in Emerging Markets written by Elaine Buckberg and published by . This book was released on 2006 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Asset Pricing in the Asian Emerging Markets by : Chien-Hsiu Lin
Download or read book Asset Pricing in the Asian Emerging Markets written by Chien-Hsiu Lin and published by . This book was released on 2007 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second chapter provides the literature about general types of cross-sectional anomalies and models used in developed countries to explain the anomalies. Due to the time-varying returns of the emerging markets which is different from the developed markets, we postulate that it is problematic if we use traditional factor model to measure the risk exposure of the anomalies in the emerging markets. We characterize that candidates of risk attributes for the emerging markets can be grouped related to: country's credit risk, macroeconomic risk, market integration, persistence and fundamental valuation measures.
Book Synopsis Asset Pricing Model Parameters and Infrequent Trading in an Emerging Market by :
Download or read book Asset Pricing Model Parameters and Infrequent Trading in an Emerging Market written by and published by . This book was released on 2006 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: Direct empirical evidence on the relationship between the asset pricing model parameters and infrequent trading in emerging markets seems sparse at best. This thesis provides empirical evidence on the potential impact of infrequent trading on the estimated asset pricing model parameters in Thailand. As a comparison sample, Singaporean data are also employed. Three main empirical results are found in this thesis. First, there is a pattern indicating that the alphas without adjusting for infrequent trading (unadjusted alphas) may be upwardly biased and the betas without adjusting for infrequent trading (unadjusted betas) may be downwardly biased in both the Thai and Singaporean markets. Second, although the differences between the unadjusted alphas and betas and the adjusted alphas and betas are statistically insignificant, the differences between the unadjusted alphas and the adjusted alphas are economically significant. Third, the serial correlation problem in portfolio returns is alleviated after adjusting for infrequent trading. Hence, it seems worthwhile to adjust for the impact of infrequent trading on the asset pricing model parameters in both Thailand and Singapore.
