Cross-Section of asset returns: Emerging markets and market integration

Artikel

Asset pricing in its essence is a very controversial topic. Despite numerous research papers criticising traditional approaches, such as linear factor models, practitioners as well as academics repeatedly return to the milestone models such as the Capital Asset Pricing Model (CAPM), mainly due to their attractive simplicity. This article focuses on the risk-return relationship by comparing the power of traditional and alternative asset pricing models in explaining the cross-section of asset returns. The focus is on unconditional models, commonly used among investors and equity analysts. This paper is based on the research performed by Estrada in 2004 and it extends his approach by introducing the use of GMM. The results suggest that for Emerging markets' investors should give preference to total risk measures over systematic risk measures. Within the category of systematic risk measures, downside beta proved its superiority to traditional CAPM beta. The results can be attributed to delayed integration process, partially justified by the lower FDI and portfolio investments into Emerging markets.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: European Financial and Accounting Journal ; ISSN: 1805-4846 ; Volume: 13 ; Year: 2018 ; Issue: 1 ; Pages: 41-60 ; Prague: University of Economics, Faculty of Finance and Accounting

Klassifikation und Themen

• Klassifikation: Management ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; International Financial Markets ; Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
• Thema: Asset Pricing ; CAPM ; Downside Risk Models

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Ajrapetova, Tamara
• Ereignis: Veröffentlichung
• (wer): University of Economics, Faculty of Finance and Accounting
• (wo): Prague
• (wann): 2018

Weitere Informationen

• DOI: doi:10.18267/j.efaj.205
• Handle: http://hdl.handle.net/10419/187730
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ