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Emerging Stock Premia: Do Industries Matter?

Author

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  • Marcella Lucchetta

    (Department of Economics, University Of Venice C� Foscari)

  • Michael Donadelli

    (Department of Economics and Finance, LUISS Guido Carli)

Abstract

This paper studies the dynamics of emerging excess returns in a industry-by-industry context. Differently from the recent financial literature, which mainly focuses on �total market indexes�, we perform a standard ex-post empirical analysis aimed at capturing the industries� contribution to country stock performances. We obtain three key empirical findings. First, at industry level, we confirm the �high performance-high volatile nature� as well as the time-varying component of emerging excess returns. Second, at country level and in a dynamic context, we detect those industries that mainly contribute to the presence of emerging stock premia. Third, we show that some industries are much more exposed to global factors than others. We argue that these results display relevant implications for portfolio diversification and reflect consumption smoothing motive

Suggested Citation

  • Marcella Lucchetta & Michael Donadelli, 2012. "Emerging Stock Premia: Do Industries Matter?," Working Papers 2012_22, Department of Economics, University of Venice "Ca' Foscari".
    • Handle: RePEc:ven:wpaper:2012_22
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    Cited by:

    1. Michael Donadelli, 2013. "On the Dynamics of Industrial Stock Market Excess Returns," Working Papers CASMEF 1301, Dipartimento di Economia e Finanza, LUISS Guido Carli.

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    More about this item

    Keywords

    Industry Excess Returns; Emerging Stock Premia; Time-Varying Performances;
    All these keywords.

    JEL classification:

    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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