Value investing in emerging markets : local macroeconomic risk and extrapolation
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Geert Bekaert & Campbell R. Harvey, 2000.
"Foreign Speculators and Emerging Equity Markets,"
Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, April.
- Geert Bekaert & Campbell R. Harvey, 1997. "Foreign Speculators and Emerging Equity Markets," NBER Working Papers 6312, National Bureau of Economic Research, Inc.
- Geert Bekaert & Campbell R. Harvey, 1997. "Foreign Speculators and Emerging Equity Markets," William Davidson Institute Working Papers Series 79, William Davidson Institute at the University of Michigan.
- Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994.
"Contrarian Investment, Extrapolation, and Risk,"
Journal of Finance, American Finance Association, vol. 49(5), pages 1541-1578, December.
- Josef Lakonishok & Robert W. Vishny & Andrei Shleifer, 1993. "Contrarian Investment, Extrapolation, and Risk," NBER Working Papers 4360, National Bureau of Economic Research, Inc.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1993. "Contrarian Investment, Extrapolation, and Risk," Working Papers 84, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
- Eugene F. Fama & Kenneth R. French, 1998.
"Value versus Growth: The International Evidence,"
Journal of Finance,
American Finance Association, vol. 53(6), pages 1975-1999, December.
- Eugene F. Fama & Kenneth R. French, "undated". "Value Versus Growth: The International Evidence," CRSP working papers 449, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Eugene F. Fama & Kenneth R. French, "undated". "Value versus Growth: The International Evidence," CRSP working papers 341, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Klapper, Leora F. & Love, Inessa, 2004.
"Corporate governance, investor protection, and performance in emerging markets,"
Journal of Corporate Finance, Elsevier, vol. 10(5), pages 703-728, November.
- Klapper, Leora F. & Love, Inessa, 2002. "Corporate governance, investor protection, and performance in emerging markets," Policy Research Working Paper Series 2818, The World Bank.
- Stiglitz, Joseph E., 2000. "Capital Market Liberalization, Economic Growth, and Instability," World Development, Elsevier, vol. 28(6), pages 1075-1086, June.
- Harvey, Campbell R, 1995.
"Predictable Risk and Returns in Emerging Markets,"
Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
- Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
- Takatoshi Ito & Anne O. Krueger, 1996. "Financial Deregulation and Integration in East Asia," NBER Books, National Bureau of Economic Research, Inc, number ito_96-1, October.
- Goetzmann, William N. & Jorion, Philippe, 1999.
"Re-Emerging Markets,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(1), pages 1-32, March.
- William N. Goetzmann & Philippe Jorion, 1997. "Re-emerging Markets," NBER Working Papers 5906, National Bureau of Economic Research, Inc.
- William Goetzmann & Philippe Jorion, 1998. "Re-emerging Markets," Yale School of Management Working Papers ysm50, Yale School of Management, revised 01 Aug 2000.
- Philippe Jorion & William N. Goetzmann, 1998. "Re-Emerging Markets," Yale School of Management Working Papers ysm111, Yale School of Management.
- William Goetzmann & Philippe Jorion, 1998. "Re-emerging Markets," Yale School of Management Working Papers ysm50, Yale School of Management, revised 01 Aug 2000.
- Frenkel, Jacob A, 1981. "Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s," Journal of Political Economy, University of Chicago Press, vol. 89(4), pages 665-705, August.
- Glen, Jack, 2002. "Devaluations and emerging stock market returns," Emerging Markets Review, Elsevier, vol. 3(4), pages 409-428, December.
- Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
- Jorion, Philippe, 1991. "The Pricing of Exchange Rate Risk in the Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(3), pages 363-376, September.
- Bekaert, Geert & Harvey, Campbell R., 2002. "Research in emerging markets finance: looking to the future," Emerging Markets Review, Elsevier, vol. 3(4), pages 429-448, December.
- Nijman, T.E. & de Roon, F.A. & Werker, B.J.M., 2001. "Testing for Mean-Variance spanning with short sales constraints and transaction costs : The case of emerging markets," Other publications TiSEM f4a3551a-d7ae-4c22-8813-b, Tilburg University, School of Economics and Management.
- Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
- Bekaert, Geert, 1995. "Market Integration and Investment Barriers in Emerging Equity Markets," The World Bank Economic Review, World Bank Group, vol. 9(1), pages 75-107, January.
- K. Geert Rouwenhorst, 1999.
"Local Return Factors and Turnover in Emerging Stock Markets,"
Journal of Finance, American Finance Association, vol. 54(4), pages 1439-1464, August.
- K. Rouwenhorst, 1998. "Local Return Factors and Turnover in Emerging Stock Markets," Yale School of Management Working Papers ysm97, Yale School of Management, revised 01 Mar 2001.
- Peter Blair Henry, 2000. "Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices," Journal of Finance, American Finance Association, vol. 55(2), pages 529-564, April.
- Barry, Christopher B. & Goldreyer, Elizabeth & Lockwood, Larry & Rodriguez, Mauricio, 2002. "Robustness of size and value effects in emerging equity markets, 1985-2000," Emerging Markets Review, Elsevier, vol. 3(1), pages 1-30, March.
- Burmeister, Edwin & McElroy, Marjorie B, 1988. " Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 43(3), pages 721-733, July.
- Martin S. Feldstein, 2003.
"Economic and Financial Crises in Emerging Market Economies.An Overview of Prevention and Management,"
NBER Chapters, in: Economic and Financial Crises in Emerging Market Economies, pages 1-30,
National Bureau of Economic Research, Inc.
- Martin Feldstein, 2002. "Economic and Financial Crises in Emerging Market Economies: Overview of Prevention and Management," NBER Working Papers 8837, National Bureau of Economic Research, Inc.
- Ito, Takatoshi & Krueger, Anne O. (ed.), 1996. "Financial Deregulation and Integration in East Asia," National Bureau of Economic Research Books, University of Chicago Press, edition 1, number 9780226386713, October.
- Ferson, Wayne E. & Harvey, Campbell R., 1994.
"Sources of risk and expected returns in global equity markets,"
Journal of Banking & Finance, Elsevier, vol. 18(4), pages 775-803, September.
- Wayne E. Ferson & Campbell R. Harvey, 1994. "Sources of Risk and Expected Returns in Global Equity Markets," NBER Working Papers 4622, National Bureau of Economic Research, Inc.
- Claessens, Stijn & Dasgupta, Susmita & Glen, Jack, 1995. "Return Behavior in Emerging Stock Markets," The World Bank Economic Review, World Bank Group, vol. 9(1), pages 131-151, January.
- Ronald I. McKinnon & Huw Pill, 1996. "Credible Liberalizations and International Capital Flows: The "Overborrowing Syndrome"," NBER Chapters, in: Financial Deregulation and Integration in East Asia, pages 7-50, National Bureau of Economic Research, Inc.
- Frans A. De Roon & Theo E. Nijman & Bas J. M. Werker, 2001. "Testing for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 721-742, April.
- Ritter, Jay R. & Warr, Richard S., 2002. "The Decline of Inflation and the Bull Market of 1982–1999," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(1), pages 29-61, March.
- Fama, Eugene F & French, Kenneth R, 1996. "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. "Contrarian Investment, Extrapolation, and Risk," Scholarly Articles 30721347, Harvard University Department of Economics.
- Bilson, Christopher M. & Brailsford, Timothy J. & Hooper, Vincent J., 2001. "Selecting macroeconomic variables as explanatory factors of emerging stock market returns," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 401-426, August.
- Serra, Ana Paula, 2000. "Country and industry factors in returns: evidence from emerging markets' stocks," Emerging Markets Review, Elsevier, vol. 1(2), pages 127-151, September.
- Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Alvaro Montenegro, 2006. "La información bursátil en Colombia," Documentos de Economía 3031, Universidad Javeriana - Bogotá.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- repec:dgr:rugsom:03e22 is not listed on IDEAS
- van der Hart, Jaap & Slagter, Erica & van Dijk, Dick, 2003.
"Stock selection strategies in emerging markets,"
Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 105-132, February.
- Jaap van der Hart & Erica Slagter & Dick van Dijk, 2001. "Stock Selection Strategies in Emerging Markets," Tinbergen Institute Discussion Papers 01-009/4, Tinbergen Institute.
- Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
- van der Hart, Jaap & de Zwart, Gerben & van Dijk, Dick, 2005.
"The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?,"
Emerging Markets Review, Elsevier, vol. 6(3), pages 238-262, September.
- van der Hart, J. & de Zwart, G.J. & van Dijk, D.J.C., 2005. "The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias?," ERIM Report Series Research in Management ERS-2005-012-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Bekaert, Geert & Harvey, Campbell R., 2002. "Research in emerging markets finance: looking to the future," Emerging Markets Review, Elsevier, vol. 3(4), pages 429-448, December.
- Waszczuk, Antonina, 2013. "A risk-based explanation of return patterns—Evidence from the Polish stock market," Emerging Markets Review, Elsevier, vol. 15(C), pages 186-210.
- de Groot, Wilma & Pang, Juan & Swinkels, Laurens, 2012.
"The cross-section of stock returns in frontier emerging markets,"
Journal of Empirical Finance, Elsevier, vol. 19(5), pages 796-818.
- de Groot, W.A. & Pang, J. & Swinkels, L.A.P., 2012. "The Cross-Section of Stock Returns in Frontier Emerging Markets," ERIM Report Series Research in Management ERS-2012-012-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Bilson, Christopher M. & Brailsford, Timothy J. & Hooper, Vincent J., 2001. "Selecting macroeconomic variables as explanatory factors of emerging stock market returns," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 401-426, August.
- Schäfer, Larissa, 2015. "Essays in banking and international finance," Other publications TiSEM 54db9c22-05fa-4444-97d5-1, Tilburg University, School of Economics and Management.
- Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
- Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
- Cakici, Nusret & Tang, Yi & Yan, An, 2016. "Do the size, value, and momentum factors drive stock returns in emerging markets?," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 179-204.
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, June.
- Keith Lam & Frank Li, 2008. "The risk premiums of the four-factor asset pricing model in the Hong Kong stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 18(20), pages 1667-1680.
- Walkshäusl, Christian, 2015. "Equity financing activities and European value-growth returns," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 27-40.
- David Hirshleifer, 2001.
"Investor Psychology and Asset Pricing,"
Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
- Hirshleifer, David, 2001. "Investor Psychology and Asset Pricing," MPRA Paper 5300, University Library of Munich, Germany.
- S. Ozornov, 2015. "Validity Of Fama And French Model On Rts Index," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 3(4), pages 22-43.
- Docherty, Paul & Chan, Howard & Easton, Steve, 2013. "Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 107-124.
- Cheol S. Eun & Sandy Lai & Frans A. de Roon & Zhe Zhang, 2010. "International Diversification with Factor Funds," Management Science, INFORMS, vol. 56(9), pages 1500-1518, September.
- Chen, Xuanjuan & Kim, Kenneth A. & Yao, Tong & Yu, Tong, 2010. "On the predictability of Chinese stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 403-425, September.
- Hanauer, Matthias X. & Kalsbach, Tobias, 2023. "Machine learning and the cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 55(C).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gro:rugsom:03e22. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Hanneke Tamling (email available below). General contact details of provider: https://edirc.repec.org/data/ferugnl.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.