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Pricing emerging market stock returns: An update

  • Barclay, Richard
  • Fletcher, Jonathan
  • Marshall, Andrew
Registered author(s):

    This paper tests how effective global models are at pricing the cross section of emerging market (EM) stock returns over a recent post-liberalization period. We apply the tests of Kan et al. (2009). Our results show that conditional models and currency factors do perform better than unconditional models and single factor models and there are some differences in the models in the two subperiods of our data. The important implication of this paper for international investors is none of our results are significant when we allow for model misspecification and none of the alternative models specifically outperform the World CAPM.

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    File URL: http://www.sciencedirect.com/science/article/B6W69-4XRYT6H-1/2/8df8a4213382350d82c6eae6c4d37a54
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    Article provided by Elsevier in its journal Emerging Markets Review.

    Volume (Year): 11 (2010)
    Issue (Month): 1 (March)
    Pages: 49-61

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    Handle: RePEc:eee:ememar:v:11:y:2010:i:1:p:49-61
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620356

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