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

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  • Ana Paula Serra

    (Faculdade de Economica do Porto, Universidade do Porto, Rua Dr Roberto Frias, 4200-464 Porto, Portugal E-mail: aserra@fep.op.pt)

Abstract

This article looks at the cross section of stock returns for the particular case of emerging markets. For each of the 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 data on emerging markets' individual stocks from the Emerging Markets Data Base (IFC). My results indicate that the most important pricing factors are common to the emerging markets in my sample and that these factors are similar to those identified for mature markets. Among the top six factors are technical factors and price level attributes. The pay-offs to these factors are not correlated, suggesting that even if investors across markets elect similar factors to price assets, premia are local.

Suggested Citation

  • Ana Paula Serra, 2003. "The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets' Stocks," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 2(2), pages 123-162, May.
    • Handle: RePEc:sae:emffin:v:2:y:2003:i:2:p:123-162
    DOI: 10.1177/097265270300200201
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    Cited by:

    1. Rui Henrique Alves, 2004. "Europe: Looking for a New Model," FEP Working Papers 154, Universidade do Porto, Faculdade de Economia do Porto.
    2. Dolinar, Denis & Orsag, Silvije & Suman, Paola, 2015. "Test Of The Chen-Roll-Ross Macroeconomic Factor Model: Evidence From Croatian Stock Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 6(2), pages 185-196.
    3. Sandra Silva, 2009. "On evolutionary technological change and economic growth: Lakatos as a starting point for appraisal," Journal of Evolutionary Economics, Springer, vol. 19(1), pages 111-135, February.
    4. Estrada, Javier & Serra, Ana Paula, 2005. "Risk and return in emerging markets: Family matters," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 257-272, July.
    5. Maria do Rosario Correia & Scott C. Linn & Andrew Marshall, 2004. "An Empirical Investigation of Debt Contract Design: The Determinants of the Choice of Debt Terms in Eurobond Issues," FEP Working Papers 148, Universidade do Porto, Faculdade de Economia do Porto.
    6. Cristina Barbot, 2004. "Low cost carriers, secondary airports and State aid: an economic assessment of the Charleroi affair," FEP Working Papers 159, Universidade do Porto, Faculdade de Economia do Porto.
    7. Ana Paula Delgado & Isabel Maria Godinho, 2004. "The evolution of city size distribution in Portugal: 1864-2001," FEP Working Papers 151, Universidade do Porto, Faculdade de Economia do Porto.
    8. Filipe J. Sousa & Luis M. de Castro, 2004. "The strategic relevance of business relationships: a preliminary assessment," FEP Working Papers 163, Universidade do Porto, Faculdade de Economia do Porto.
    9. Rosa Forte, 2004. "The relationship between foreign direct investment and international trade. Substitution or complementarity? A survey," FEP Working Papers 140, Universidade do Porto, Faculdade de Economia do Porto.

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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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