haku: @author Satchell, S. / yhteensä: 4
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| Tekijä: | Eftekhari, B. Satchell, S. |
| Otsikko: | International investors' exposure to risk in emerging markets |
| Lehti: | Journal of Financial Research
1999 : SPRING, VOL. 22:1, p. 83-106 |
| Asiasana: | INTERNATIONAL INVESTMENT RISK |
| Kieli: | eng |
| Tiivistelmä: | The authors examine the empirical differences in emerging market betas taken across four major currencies (U.S. dollar, British sterling, Japanese yen, and German mark) where the betas are either mean-variance or mean-lower partial moment betas. The mean variance betas are found to be statistically similar to lower partial moment betas in most cases, which suggests, they are robust to nonnormality in the data. THe difference between the two betas has become less significant in recent years as emerging markets have become more stable. |
SCIMA