Value Investing in Emerging Markets: Risks and Benefits
This paper identifies a subset of emerging markets that have higher than average expected returns and studies risk properties of this subset by investment simulations. It is found that: (1) the portfolio of "value" emerging markets generates superior returns, and (2) statistical measures of its risk are close to the corresponding measures for the portfolio of all emerging markets. The statistical significance of these results were checked by a bootstrap procedure. The results imply that the optimal share of emerging markets increases from 0% for an equally weighted portfolio to about 25% for the portfolio of undervalued emerging markets.
|Date of creation:||09 Sep 2003|
|Note:||Type of Document - PDF; prepared on IBM PC ; pages: 11; figures: included. Published in Emerging Markets Review|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
References listed on IDEAS
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- Pesaran, M Hashem & Timmermann, Allan, 2000.
"A Recursive Modelling Approach to Predicting UK Stock Returns,"
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