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| Author: | Susmel, R. |
| Title: | Extreme observations and diversification in Latin American emerging equity markets |
| Journal: | Journal of International Money and Finance
2001 : DEC, VOL. 20:7, p. 971-986 |
| Index terms: | DISTRIBUTION DIVERSIFICATION EMERGING MARKETS STOCK MARKETS STOCK RETURNS LATIN AMERICA |
| Language: | eng |
| Abstract: | In this paper, the authors focus on the tails of the unconditional distribution of Latin American emerging markets stock returns. They explore their implications for portfolio diversification according to the safety first principle, first proposed by Roy (Econometrica, 1952, 20, 431). The authors find that the Latin American emerging markets have significantly fatter tails than industrial markets, especially, the lower tail of the distribution. |
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