Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Structural Change And Asset Pricing In Emerging Markets full books in PDF, epub, and Kindle. Read online Structural Change And Asset Pricing In Emerging Markets ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : René Garcia
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (371 download)
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:
Author : Garcia, René
Publisher : Montréal : CIRANO
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (371 download)
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:
Author : René Garcia
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (753 download)
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:
Author : Daniel Gillermo Garces Diaz
Publisher :
ISBN 13 :
Total Pages : 266 pages
Book Rating : 4.:/5 (34 download)
Download or read book The Effects of Structural Changes in the Rates of Return of Emerging Markets written by Daniel Gillermo Garces Diaz and published by . This book was released on 1998 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shabir Ahmad Hakim
Publisher :
ISBN 13 :
Total Pages : 678 pages
Book Rating : 4.:/5 (957 download)
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.
Author : Jerome Booth
Publisher : John Wiley & Sons
ISBN 13 : 1118879678
Total Pages : 280 pages
Book Rating : 4.1/5 (188 download)
Download or read book Emerging Markets in an Upside Down World written by Jerome Booth and published by John Wiley & Sons. This book was released on 2014-04-21 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: The world is upside down. The emerging market countries are more important than many investors realise. They have been catching up with the West over the past few decades. Greater market freedom has spread since the end of the Cold War, and with it institutional changes which have further assisted emerging economies in becoming more productive, flexible, and resilient. The Western financial crisis from 2008 has quickened the pace of the relative rise of emerging markets - their relative economic power, and with it political power, but also their financial power as savers, investors and creditors. Emerging Markets in an Upside Down World - Challenging Perceptions in Asset Allocation and Investment argues that finance theory has misunderstood risk and that this has led to poor investment decisions; and that emerging markets constitute a good example of why traditional finance theory is faulty. The book accurately describes the complex and changing global environment currently facing the investor and asset allocator. It raises many questions often bypassed because of the use of simplifying assumptions and models. The narrative builds towards a checklist of issues and questions for the asset allocator and investor and then to a discussion of a variety of regulatory and policy issues. Aimed at institutional and retail investors as well as economics, finance, business and international relations students, Emerging Markets in an Upside Down World covers many complex ideas, but is written to be accessible to the non-expert.
Author : Ms.Elaine Karen Buckberg
Publisher : International Monetary Fund
ISBN 13 : 145184171X
Total Pages : 25 pages
Book Rating : 4.4/5 (518 download)
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.
Author : MissCatriona Purfield
Publisher : International Monetary Fund
ISBN 13 : 1451867859
Total Pages : 23 pages
Book Rating : 4.4/5 (518 download)
Download or read book India written by MissCatriona Purfield and published by International Monetary Fund. This book was released on 2007-09-01 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines rising asset prices in India. For the most part, asset prices in India reflect structural factors but the risk of a correction cannot be ruled out. However, at this juncture monetary policy may not be the most effective tool to safeguard financial stability because (i) India's economy is undergoing rapid structural change making it difficult to identify price misalignments; (ii) the macroeconomic impact of an asset price correction is likely to be small; and (iii) the relationship between monetary policy and asset prices is also weak. Targeted changes in financial regulations are better tools to address potential risks.
Author : Mondher Bellalah
Publisher : World Scientific Publishing Company Incorporated
ISBN 13 : 9812770739
Total Pages : 634 pages
Book Rating : 4.8/5 (127 download)
Download or read book Risk Management and Value written by Mondher Bellalah and published by World Scientific Publishing Company Incorporated. This book was released on 2008 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nasha Ananchotikul
Publisher : International Monetary Fund
ISBN 13 : 1498340229
Total Pages : 33 pages
Book Rating : 4.4/5 (983 download)
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.
Author : H. Kent Baker
Publisher : John Wiley & Sons
ISBN 13 : 1118421485
Total Pages : 758 pages
Book Rating : 4.1/5 (184 download)
Download or read book Market Microstructure in Emerging and Developed Markets written by H. Kent Baker and published by John Wiley & Sons. This book was released on 2013-07-31 with total page 758 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to the dynamic area of finance known as market microstructure Interest in market microstructure has grown dramatically in recent years due largely in part to the rapid transformation of the financial market environment by technology, regulation, and globalization. Looking at market transactions at the most granular level—and taking into account market structure, price discovery, information flows, transaction costs, and the trading process—market microstructure also forms the basis of high-frequency trading strategies that can help professional investors generate profits and/or execute optimal transactions. Part of the Robert W. Kolb Series in Finance, Market Microstructure skillfully puts this discipline in perspective and examines how the working processes of markets impact transaction costs, prices, quotes, volume, and trading behavior. Along the way, it offers valuable insights on how specific features of the trading process like the existence of intermediaries or the environment in which trading takes place affect the price formation process. Explore issues including market structure and design, transaction costs, information flows, and disclosure Addresses market microstructure in emerging markets Covers the legal and regulatory issues impacting this area of finance Contains contributions from both experienced financial professionals and respected academics in this field If you're looking to gain a firm understanding of market microstructure, this book is the best place to start.
Author : J. Jay Choi
Publisher : Praeger
ISBN 13 :
Total Pages : 368 pages
Book Rating : 4.:/5 (318 download)
Download or read book Emerging Capital Markets written by J. Jay Choi and published by Praeger. This book was released on 1998-11-19 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a collection of articles on financial and investment issues in emerging capital markets. It offers coverage of major emerging countries as well as topics related to emerging market finance
Author : Douglas Wood
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (122 download)
Download or read book Structural Change Announcement Effects in an Emerging Market written by Douglas Wood and published by . This book was released on 1995 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jonathan Batten
Publisher : Emerald Group Publishing
ISBN 13 : 0857247530
Total Pages : 745 pages
Book Rating : 4.8/5 (572 download)
Download or read book The Impact of the Global Financial Crisis on Emerging Financial Markets written by Jonathan Batten and published by Emerald Group Publishing. This book was released on 2011-03-02 with total page 745 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Global Financial Crisis of 2007-2009 has highlighted the resilience of the financial markets and economies from the developing world. This title investigates and assesses the impact and response to the crisis from an emerging markets perspective including asset pricing, contagion, financial intermediation, market structure and regulation.
Author : Martin Feldstein
Publisher : University of Chicago Press
ISBN 13 : 0226241807
Total Pages : 500 pages
Book Rating : 4.2/5 (262 download)
Download or read book International Capital Flows written by Martin Feldstein and published by University of Chicago Press. This book was released on 2007-12-01 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
Author : Mr.Reinout De Bock
Publisher : International Monetary Fund
ISBN 13 : 1475592302
Total Pages : 27 pages
Book Rating : 4.4/5 (755 download)
Download or read book Bank Asset Quality in Emerging Markets written by Mr.Reinout De Bock and published by International Monetary Fund. This book was released on 2012-03-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses the vulnerability of emerging markets and their banks to aggregate shocks. We find significant links between banks' asset quality, credit and macroeconomic aggregates. Lower economic growth, an exchange rate depreciation, weaker terms of trade and a fall in debt-creating capital inflows reduce credit growth while loan quality deteriorates. Particularly noteworthy is the sharp deterioration of balance sheets following a reversal of portfolio inflows. We also find evidence of feedback effects from the financial sector on the wider economy. GDP growth falls after shocks that drive non-performing loans higher or generate a contraction in credit. This analysis was used in chapter 1 of the Global Financial Stability Report (September 2011) to help evaluate the sensitivity of banks' capital adequacy ratios to macroeconomic and funding cost shocks.
Author : Sandro C. Andrade
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Model of Asset Pricing under Country Risk written by Sandro C. Andrade and published by . This book was released on 2009 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: I develop a formal model that could provide quantitative guidance to practitioners who use sovereign yield spreads in emerging market asset valuation. The model provides closed-form formulas relating emerging market stock P/E ratios (and expected returns) to the corresponding average yield spread in sovereign bonds. In the model, sovereign yield spreads carry information about the likelihood of a negative regime change in an emerging market (quot;country riskquot;), under the common assumption that the regime change is associated with a hostile renegotiation of the country's foreign debt. In the model, country risk is priced because the regime change may be endogenously associated with bad states of the global economy. Data from emerging markets are consistent with some of the model's quantitative and qualitative predictions.
