Value Investing in Emerging Markets: Risks and Benefits
AbstractThis paper identifies a subset of emerging markets that have higher than average expected returns and studies risk properties of this subset by investment simulations. It is found that: (1) the portfolio of "value" emerging markets generates superior returns, and (2) statistical measures of its risk are close to the corresponding measures for the portfolio of all emerging markets. The statistical significance of these results were checked by a bootstrap procedure. The results imply that the optimal share of emerging markets increases from 0% for an equally weighted portfolio to about 25% for the portfolio of undervalued emerging markets.
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Bibliographic InfoPaper provided by EconWPA in its series International Finance with number 0309005.
Length: 11 pages
Date of creation: 09 Sep 2003
Date of revision:
Note: Type of Document - PDF; prepared on IBM PC ; pages: 11; figures: included. Published in Emerging Markets Review
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emerging markets; investment simulations; bootstrap;
Other versions of this item:
- Kargin, Vladislav, 2002. "Value investing in emerging markets: risks and benefits," Emerging Markets Review, Elsevier, vol. 3(3), pages 233-244, September.
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
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