Pricing emerging market stock returns: an update

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Abstract

This paper tests how effective global models are at pricing the cross section of emerging market (EM) stock returns over a recent post-liberalization period. We apply the tests of Kan et al. (2009). Our results show that conditional models and currency factors do perform better than unconditional models and single factor models and there are some differences in the models in the two subperiods of our data. The important implication of this paper for international investors is none of our results are significant when we allow for model misspecification and none of the alternative models specifically outperform the World CAPM
Original languageEnglish
Pages (from-to)49-61
Number of pages13
JournalEmerging Markets Review
Volume11
Issue number1
DOIs
Publication statusPublished - Mar 2010

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Keywords

  • emerging markets
  • asset price models

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