Asset Pricing In Emerging Markets

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Institutional Investors And Asset Pricing In Emerging Markets

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Author : Ms.Elaine Karen Buckberg
language : en
Publisher: International Monetary Fund
Release Date : 1996-01-01

Institutional Investors And Asset Pricing In Emerging Markets written by Ms.Elaine Karen Buckberg and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-01-01 with Business & Economics categories.

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.

Asset Pricing In Emerging Markets

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Author : Shabir Ahmad Hakim
language : en
Publisher:
Release Date : 2015

Asset Pricing In Emerging Markets written by Shabir Ahmad Hakim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Capital assets pricing model categories.

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.

Asset Pricing In Emerging Markets

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Author :
language : en
Publisher:
Release Date : 2014

Asset Pricing In Emerging Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

The Cross Section Of Stock Returns

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Author : Stijn Claessens
language : en
Publisher: World Bank Publications
Release Date : 1995

The Cross Section Of Stock Returns written by Stijn Claessens and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Rate of return categories.

Asset Pricing In Emerging Markets

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Author : Yusuf Begg
language : en
Publisher:
Release Date : 2008

Asset Pricing In Emerging Markets written by Yusuf Begg and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

A Measure Of Stock Market Integration For Developed And Emerging Markets

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Author : Robert A. Korajczyk
language : en
Publisher: World Bank Publications
Release Date : 1995

A Measure Of Stock Market Integration For Developed And Emerging Markets written by Robert A. Korajczyk and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Aktiemarkeder categories.

Institutional Investors And Asset Pricing In Emerging Markets

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Author : Elaine Buckberg
language : en
Publisher:
Release Date : 2006

Institutional Investors And Asset Pricing In Emerging Markets written by Elaine Buckberg and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.

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.

Structural Change And Asset Pricing In Emerging Markets

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Author : René Garcia
language : en
Publisher:
Release Date : 1994

Structural Change And Asset Pricing In Emerging Markets written by René Garcia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with categories.

Structural Change And Asset Pricing In Emerging Markets

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Author : René Garcia
language : en
Publisher:
Release Date : 1996

Structural Change And Asset Pricing In Emerging Markets written by René Garcia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Stock exchanges categories.

Portfolio Flows Global Risk Aversion And Asset Prices In Emerging Markets

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Author : Nasha Ananchotikul
language : en
Publisher: International Monetary Fund
Release Date : 2014-08-19

Portfolio Flows Global Risk Aversion And Asset Prices In Emerging Markets written by Nasha Ananchotikul and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-19 with Business & Economics categories.

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.