The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets' Stocks
Journal of Emerging Market Finance, Vol. 2, No. 2, pp. 123-162, 2003
39 Pages Posted: 24 Mar 2001 Last revised: 2 Sep 2008
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: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Time-Varying World Market Integration
By Geert Bekaert and Campbell R. Harvey
-
Time-Varying World Market Integration
By Geert Bekaert and Campbell R. Harvey
-
Foreign Speculators and Emerging Equity Markets
By Geert Bekaert and Campbell R. Harvey
-
Foreign Speculators and Emerging Equity Markets
By Geert Bekaert and Campbell R. Harvey
-
The World Price of Foreign Exchange Risk
By Bernard Dumas and Bruno Solnik
-
Emerging Equity Market Volatility
By Geert Bekaert and Campbell R. Harvey
-
Emerging Equity Market Volatility
By Geert Bekaert and Campbell R. Harvey
-
Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
By Geert Bekaert and Robert J. Hodrick