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Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry
We propose a quantile-based measure of conditional skewness, particularly suitable for handling recalcitrant emerging market (EM) returns. The skewness of international stock market returns varies significantly across countries over time, and persists at long horizons. In EMs, skewness is mostly positive and idiosyncratic, and significantly relates to a country's financial and trade openness and balance of payments. In an international portfolio setting, return asymmetry leads to sizeable certainty-equivalent gains and increases the weight on emerging countries to about 30%. Investing in EMs seems to be about expectations of a higher upside than downside, consistent with recent theories.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| The Journal of Finance | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : |
|---|---|
| Edisi | Vol. 71, Number 5, Oct. 2016 |
| Subjek | - |
| ISBN/ISSN | - |
| Klasifikasi | NONE |
| Deskripsi Fisik | - |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |