The predictability of excess returns in the emerging bond markets
AbstractThis study examines the relationships that exist between excess bond returns and global and country-specific factors, focusing on a sample of 12 developing countries. Our results show a significantly negative autocorrelation with regard to the excess returns of bonds in the emerging markets; with growth in the size of the local bond market, there is a corresponding increase in the excess bond returns. For most of the developing economies, with an increase in emerging market bond returns, there are discernible reductions in the level of domestic interest rate and increases in the volatility of bond returns. A higher sovereign bond spread predicts higher excess returns for emerging market bonds. Overall, we find that world factors have relatively less predictive power in the emerging market bonds.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 22 (2012)
Issue (Month): 17 (September)
Contact details of provider:
Web page: http://www.tandfonline.com/RAFE20
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.