Investment in Microfinance Equity: Risk, Return, and Diversification Benefits
AbstractThis paper draws a global picture of worldwide microfinance equity. Taking full advantage of daily quoted prices of microfinance stocks from their issuance, we construct microfinance country equity indices and an international global microfinance index. We analyze changes in these indices, assessed in reference to comparable indices for the financial sector and also to national indices. Our findings show that microfinance has been closely correlated with the financial sector since 2003. In terms of risk exposure, estimates of the Capital Asset Pricing Model demonstrate that microfinance shares exhibit higher market beta than those of conventional financial institutions and have equivalent currency exposure.
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.
Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers CEB with number 11-050.
Length: 31 p.
Date of creation: Oct 2011
Date of revision:
Publication status: Published by:
Contact details of provider:
Postal: CP114/03, 42 avenue F.D. Roosevelt, 1050 Bruxelles
Phone: +32 (0)2 650.48.64
Fax: +32 (0)2 650.41.88
Web page: http://difusion.ulb.ac.be
More information through EDIRC
Microfinance; portfolio management; equity; emerging markets.;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- O16 - Economic Development, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marek Hudon, 2006. "Subsidies and financial performances of the microfinance institutions: Does management matter?," Working Papers CEB 05-015.RS, ULB -- Universite Libre de Bruxelles.
- Beck, T.H.L. & Demirgüc-Kunt, A. & Martinez Peria, M., 2008.
"Banking services for everyone? Barriers to bank access and use around the world,"
Open Access publications from Tilburg University
urn:nbn:nl:ui:12-3159645, Tilburg University.
- Thorsten Beck & Asli Demirgüç-Kunt & Maria Soledad Martinez Peria, 2008. "Banking Services for Everyone? Barriers to Bank Access and Use around the World," World Bank Economic Review, World Bank Group, vol. 22(3), pages 397-430, November.
- Beck, Thorsten & Demirguc-Kunt, Asli & Martinez Peria, Maria Soledad, 2006. "Banking services for everyone ? Barriers to bank access and use around the world," Policy Research Working Paper Series 4079, The World Bank.
- Colm Kearney & Valerio Poti, 2005.
"Correlation Dynamics in European Equity Markets,"
- repec:ner:dauphi:urn:hdl:123456789/7739 is not listed on IDEAS
- Marie Briere & Ariane Szafarz, 2007.
"Crisis-Robust Bond Portfolios,"
Working Papers CEB
07-030.RS, ULB -- Universite Libre de Bruxelles.
- Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
- Roon, F.A. de & Nijman, T.E. & Werker, B.J.M., 1998.
"Testing for mean-variance spanning with short sales constraints and transaction costs: The case of emerging markets,"
1998-07, Tilburg University, Center for Economic Research.
- Nijman, T.E. & Roon, F.A. de & Werker, B.J.M., 2001. "Testing for Mean-Variance spanning with short sales constraints and transaction costs: The case of emerging markets," Open Access publications from Tilburg University urn:nbn:nl:ui:12-86724, Tilburg University.
- Marek Hudon & Daniel Traca, 2006.
"On the efficiency effects of subsidies in microfinance: an empirical inquiry,"
Working Papers CEB
06-020.RS, ULB -- Universite Libre de Bruxelles.
- Hudon, Marek & Traca, Daniel, 2011. "On the Efficiency Effects of Subsidies in Microfinance: An Empirical Inquiry," World Development, Elsevier, vol. 39(6), pages 966-973, June.
- Daniel Traca, 2011. "On the Efficiency Effects of Subsidies in Microfinance: An Empirical Inquiry," ULB Institutional Repository 2013/89989, ULB -- Universite Libre de Bruxelles.
- Arvind Ashta & Marek Hudon, 2009. "To whom should we be fair? Ethical issues in Balancing Stakeholder Interests from Banco Compartamos Case Study," Working Papers CEB 09-036.RS, ULB -- Universite Libre de Bruxelles.
- Ahmad Nawaz, 2010. "Efficiency and Productivity of Microfinance: Incorporating the Role of Subsidies," Working Papers CEB 10-009.RS, ULB -- Universite Libre de Bruxelles.
- Mersland, Roy & Strøm, R. Øystein, 2010. "Microfinance Mission Drift?," World Development, Elsevier, vol. 38(1), pages 28-36, January.
- Steven B. Caudill & Daniel M. Gropper & Valentina Hartarska, 2009. "Which Microfinance Institutions Are Becoming More Cost Effective with Time? Evidence from a Mixture Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(4), pages 651-672, 06.
- Szafarz, Ariane & Brière, Marie, 2008. "Crisis-Robust Bond Portfolios," Economics Papers from University Paris Dauphine 123456789/7748, Paris Dauphine University.
- repec:ner:dauphi:urn:hdl:123456789/7748 is not listed on IDEAS
- Brière, Marie & Burgues, Alexandre & Signori, Ombretta, 2010. "Volatility Exposure for Strategic Asset Allocation," Economics Papers from University Paris Dauphine 123456789/7739, Paris Dauphine University.
- McIntosh, Craig & Wydick, Bruce, 2005. "Competition and microfinance," Journal of Development Economics, Elsevier, vol. 78(2), pages 271-298, December.
- Suman Ghosh & Eric Van Tassel, 2008. "A Model of Mission Drift in Microfinance Institutions," Working Papers 08003, Department of Economics, College of Business, Florida Atlantic University.
- repec:ner:dauphi:urn:hdl:123456789/7741 is not listed on IDEAS
- Engle, Robert F & Sheppard, Kevin K, 2001.
"Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH,"
University of California at San Diego, Economics Working Paper Series
qt5s2218dp, Department of Economics, UC San Diego.
- Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.
- Brière, Marie & Signori, Ombretta, 2009. "Do Inflation-Linked Bonds Still Diversify ?," Economics Papers from University Paris Dauphine 123456789/7741, Paris Dauphine University.
- Mersland, Roy, 2007.
"The cost of ownership in microfinance organization,"
2061, University Library of Munich, Germany.
- Mersland, Roy, 2009. "The Cost of Ownership in Microfinance Organizations," World Development, Elsevier, vol. 37(2), pages 469-478, February.
- Gabriel Di Bella, 2011. "The Impact of the Global Financial Crisis on Microfinance and Policy Implications," IMF Working Papers 11/175, International Monetary Fund.
- Wagner, Charlotte, 2010. "From boom to bust: how different has microfinance been from traditional banking?," Frankfurt School - Working Paper Series 156, Frankfurt School of Finance and Management.
- Annabel Vanroose & Bert D’Espallier, 2009. "Microfinance and Financial Sector Development," Working Papers CEB 09-040.RS, ULB -- Universite Libre de Bruxelles.
- Copestake, James, 2007. "Mainstreaming Microfinance: Social Performance Management or Mission Drift?," World Development, Elsevier, vol. 35(10), pages 1721-1738, October.
- Bastien Drut, 2010.
"Social responsibility and mean-variance portfolio selection,"
Working Papers CEB
10-002.RS, ULB -- Universite Libre de Bruxelles.
- Bastien Drut, 2010. "Social responsibility and mean-variance portfolio selection," EconomiX Working Papers 2010-3, University of Paris West - Nanterre la Défense, EconomiX.
- Gonzalez, Adrian, 2007. "Resilience of Microfinance Institutions to National Macroeconomic Events: An Econometric Analysis of MFI asset quality," MPRA Paper 4317, University Library of Munich, Germany.
- Moulin, Bertrand, 2011. "Microfinance investment vehicles in Sub-Saharan Africa: constraints and potentials," MPRA Paper 32967, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Benoit Pauwels).
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.