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Re-Emerging Markets

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Author Info
Philippe Jorion () (General)
William N. Goetzmann () (Yale University, School of Management)

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Abstract

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 1998
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Handle: RePEc:ysm:somwrk:ysm111

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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

References listed on IDEAS
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  1. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," Journal of Business, University of Chicago Press, vol. 58(3), pages 259-78, July. [Downloadable!] (restricted)
  2. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 8(3), pages 773-816. [Downloadable!] (restricted)
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  3. Robert F. Stambaugh, . "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.
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  4. Goetzmann, William N & Jorion, Philippe, 1995. "A Longer Look at Dividend Yields," Journal of Business, University of Chicago Press, vol. 68(4), pages 483-508, October. [Downloadable!] (restricted)
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  5. Harris, Lawrence E & Gurel, Eitan, 1986. " Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures," Journal of Finance, American Finance Association, vol. 41(4), pages 815-29, September. [Downloadable!] (restricted)
  6. William N. Goetzmann & Philippe Jorion, 1997. "A Century of Global Stock Markets," Yale School of Management Working Papers ysm53, Yale School of Management. [Downloadable!]
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  7. Geert Bekaert & Michael S. Urias, 1996. "Diversification, Integration and Emerging Market Closed-End Funds," NBER Working Papers 4990, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  9. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(4), pages 553-80. [Downloadable!] (restricted)
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(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.)

  1. Vladislav Kargin, 2003. "Value Investing in Emerging Markets: Risks and Benefits," International Finance 0309005, EconWPA. [Downloadable!]
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  2. Klaas Baks & Andrew Metrick & Jessica Wachter, . "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Rodney L. White Center for Financial Research Working Papers 18-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
  3. Gerald Kohers & Ninon Kohers & Theodor Kohers, 2006. "The risk and return characteristics of developed and emerging stock markets: the recent evidence," Applied Economics Letters, Taylor and Francis Journals, vol. 13(11), pages 737-743, September. [Downloadable!] (restricted)
  4. Malcolm Anderson, 2000. "Accounting History Publications 1999," Accounting, Business and Financial History, Taylor and Francis Journals, vol. 10(3), pages 385-393, November. [Downloadable!] (restricted)
  5. Bansal, Ravi & Dahlquist, Magnus, 2002. "Expropriation Risk and Return in Global Equity Markets," SIFR Research Report Series 8, Swedish Institute for Financial Research. [Downloadable!]
  6. Meenagh, David & Minford, Patrick & Peel, David, 2006. "Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency," CEPR Discussion Papers 5614, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  7. William N. Goetzmann & Philippe Jorion, 1997. "A Century of Global Stock Markets," NBER Working Papers 5901, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Aktham Maghyereh & Hiatham Al-Zuobi, 2005. "Free trade agreements and equity market integration: the case of the US and Jordan," Applied Financial Economics, Taylor and Francis Journals, vol. 15(14), pages 995-1005, October. [Downloadable!] (restricted)
  9. Robert F. Stambaugh, 1997. "Analyzing Investments Whose Histories Differ in Length," NBER Working Papers 5918, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. Bansal, Ravi & Dahlquist, Magnus, 2001. "Sovereign Risk and Return in Global Equity Markets," CEPR Discussion Papers 3034, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  11. Christoph Klingen & Jeromin Zettelmeyer & Beatrice Weder, 2004. "How Private Creditors Fared in Emerging Debt Markets, 1970-2000," IMF Working Papers 04/13, International Monetary Fund. [Downloadable!]
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  12. Voth, Hans-Joachim, 2002. "With a Bang, Not a Whimper: Pricking Germany's 'Stock Market Bubble' in 1927 and the Slide into Depression," CEPR Discussion Papers 3257, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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