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Re-Emerging Markets Author info | Abstract | Publisher info | Download info | Related research | Statistics Philippe Jorion () (General)
William N. Goetzmann () (Yale University, School of Management)
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Recent research shows that emerging markets are distinguished by high returns and low covariances with global market factors. To check whether these results can be attributed to their recent emergence, we simulate a simple, general model of global markets, with a realistic survival process. The simulations reveal a number of new effects. We find that pre-emergence returns are systematically lower than post-emergence returns, and that the brevity of a market history is related to the bias in returns as well as to the world beta. These patterns are confirmed by an empirical analysis of emerging and submerged markets.
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Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number
ysm111.
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Date of creation: 30 Dec 1998Date of revision:
Handle: RePEc:ysm:somwrk:ysm111Contact details of provider: Web page: http://mba.yale.edu/ More information through EDIRC
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Find related papers by JEL classification: G15 - Financial Economics - - General Financial Markets - - - International Financial Markets G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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Jorion, Philippe, 1985.
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Harvey, Campbell R, 1995.
"Predictable Risk and Returns in Emerging Markets ,"
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Other versions: Robert F. Stambaugh, .
"Analyzing Investments Whose Histories Differ in Length ,"
Rodney L. White Center for Financial Research Working Papers
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Other versions:
Robert F. Stambaugh, .
"Analyzing Investments Whose Histories Differ in Length ,"
Rodney L. White Center for Financial Research Working Papers
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Robert F. Stambaugh, 1997.
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Philippe Jorion & William N. Goetzmann, 2000.
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references Cited by : (explanations , 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.)
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Philippe Jorion & William N. Goetzmann, 2000.
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NBER Working Papers
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[Downloadable!] (restricted) William N. Goetzmann & Philippe Jorion, 1997.
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Yale School of Management Working Papers
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Robert F. Stambaugh, 1997.
"Analyzing Investments Whose Histories Differ in Length ,"
NBER Working Papers
5918, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Robert F. Stambaugh, .
"Analyzing Investments Whose Histories Differ in Length ,"
Rodney L. White Center for Financial Research Working Papers
5-96, Wharton School Rodney L. White Center for Financial Research.
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"Analyzing Investments Whose Histories Differ in Length ,"
Rodney L. White Center for Financial Research Working Papers
05-96, Wharton School Rodney L. White Center for Financial Research.
Stambaugh, Robert F., 1997.
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Journal of Financial Economics ,
Elsevier, vol. 45(3), pages 285-331, September.
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