Country Risk Components, the Cost of Capital, and Returns in Emerging Markets
نویسندگان
چکیده
منابع مشابه
Long Memory in Stock Returns: A Study of Emerging Markets
The present study aimed at investigating the existence of long memory properties in ten emerging stock markets across the globe. When return series exhibit long memory, it indicates that observed returns are not independent over time. If returns are not independent, past returns can help predict future returns, thereby violating the market efficiency hypothesis. It poses a serious challenge to ...
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15 صفحه اولlong memory in stock returns: a study of emerging markets
the present study aimed at investigating the existence of long memory properties in ten emerging stock markets across the globe. when return series exhibit long memory, it indicates that observed returns are not independent over time. if returns are not independent, past returns can help predict future returns, thereby violating the market efficiency hypothesis. it poses a serious challenge to ...
متن کاملCountry and industry factors in returns: evidence from emerging markets’ stocks
This study examines the influence of country and industry factors on the cross-sectional variance and correlation structure of returns. I use new data on emerging markets’ stocks obtained from the Emerging Markets Data Base. I find that emerging markets’ returns are mainly driven by country factors, as it was shown previously in studies for mature markets, and that cross-market correlation is n...
متن کاملWorld market risk, country-specific risk and expected returns in international stock markets
This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic risk are priced in an international capital asset pricing model (ICAPM). Portfolio-level analyses, country-level cross-sectional regressions, stacked time-series, and pooled panel regressions indicate that the world market risk is not, but country-specific total and idiosyncratic...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.620710