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Emerging Stock Premia: Do Industries Matter?

  • Marcella Lucchetta

    ()

    (Department of Economics, University Of Venice Cà Foscari)

  • Michael Donadelli

    (Department of Economics and Finance, LUISS Guido Carli)

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

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File URL: http://www.unive.it/media/allegato/DIP/Economia/Working_papers/Working_papers_2012/WP_DSE_donadelli_lucchetta_22_12.pdf
File Function: First version, 2012
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Paper provided by Department of Economics, University of Venice "Ca' Foscari" in its series Working Papers with number 2012_22.

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Length: 16
Date of creation: 2012
Date of revision:
Handle: RePEc:ven:wpaper:2012_22
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  1. Carrieri, Francesca & Errunza, Vihang & Hogan, Ked, 2007. "Characterizing World Market Integration through Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(04), pages 915-940, December.
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  10. Bekaert, Geert, 1995. "Market Integration and Investment Barriers in Emerging Equity Markets," World Bank Economic Review, World Bank Group, vol. 9(1), pages 75-107, January.
  11. Michael Donadelli & Lorenzo Prosperi, 2012. "The Equity Risk Premium: Empirical Evidence from Emerging Markets," Working Papers CASMEF 1201, Dipartimento di Economia e Finanza, LUISS Guido Carli.
  12. Robin Brooks & Marco Del Negro, 2003. "International stock returns and market integration: A regional perspective," Working Paper 2002-20, Federal Reserve Bank of Atlanta.
  13. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-57, March.
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  16. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
  17. Rajnish Mehra, 2012. "Consumption-Based Asset Pricing Models," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 385-409, October.
  18. 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.
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