The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Predictable Risk and Returns in Emerging Markets
Open accessAbstract
The emergence of new equity markets in Europe, Latin America, Asia, the Mideast and Africa provides a new menu of opportunities for investors.These markets exhibit high expected returns as well as high volatility.Importantly, the low correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor.However, standard global asset pricing models, which assume complete integration of capital markets, fail to explain the cross-section of average returns in emerging countries.An analysis of the predictability of the returns reveals that emerging market returns are more likely than developed countries to be influenced by local information.
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Cites
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
Survivorship Bias in Performance Studies
Brown, S. J., Goetzmann, W., Ibbotson, R. G., & Ross, S. A. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.4.553 · Cited by 1,121
Cited by
HAIL, L., & LEUZ, C. (2006) · Journal of Accounting Research · doi:10.1111/j.1475-679x.2006.00209.x · Cited by 1,371
Initial public offerings: International insights
Loughran, T., Ritter, J. R., & Rydqvist, K. (1994) · Pacific-Basin Finance Journal · doi:10.1016/0927-538x(94)90016-7 · Cited by 1,254
Stock Market Development and Long-Run Growth
Levine, R., & Zervos, S. (1996) · The World Bank Economic Review · doi:10.1093/wber/10.2.323 · Cited by 1,083
Volatility in Emerging Stock Markets
Aggarwal, R., Inclan, C., & Leal, R. (1999) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2676245 · Cited by 734
Legal protection of investors, corporate governance, and the cost of equity capital
Chen, K. C. W., Chen, Z., & Wei, K. C. J. (2009) · Journal of Corporate Finance · doi:10.1016/j.jcorpfin.2009.01.001 · Cited by 669
Metadata
- Authors
- Harvey, C.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 1994-01
- OpenAlex
- W3125453467
- Cited by
- 1,013
- References
- 2
- Type
- report
- Language
- en
- Open access
- green
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