The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets' Stocks

Journal of Emerging Market Finance, Vol. 2, No. 2, pp. 123-162, 2003

EFMA 2000 Lugano Meetings

39 Pages Posted: 24 Mar 2001 Last revised: 2 Sep 2008

See all articles by Ana Paula Serra

Ana Paula Serra

CEMPRE, Faculdade de Economia do Porto; Universidade do Porto - Faculdade de Economia (FEP)

Abstract

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.

JEL Classification: G15

Suggested Citation

Serra, Ana Paula Sousa Freitas Madureira and Serra, Ana Paula Sousa Freitas Madureira, The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets' Stocks. Journal of Emerging Market Finance, Vol. 2, No. 2, pp. 123-162, 2003, EFMA 2000 Lugano Meetings, Available at SSRN: https://ssrn.com/abstract=264658 or http://dx.doi.org/10.2139/ssrn.264658

Ana Paula Sousa Freitas Madureira Serra (Contact Author)

Universidade do Porto - Faculdade de Economia (FEP) ( email )

Rua Roberto Frias
s/n
Porto, 4200-464
Portugal

CEMPRE, Faculdade de Economia do Porto ( email )

Rua Dr Roberto Frias
4200-464 Porto
Portugal
+351 22 5571100 (Phone)
+351 22 5505050 (Fax)

HOME PAGE: http://www.fep.up.pt/docentes/aserra/index_ASerra.htm

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