haku: @journal_id 62 / yhteensä: 680
viite: 76 / 680
Tekijä: | Goetzmann, W. Jorion, P. |
Otsikko: | Re-emerging markets |
Lehti: | Journal of Financial and Quantitative Analysis
1999 : MAR, VOL. 34:1, p. 1-32 |
Asiasana: | MARKETS FINANCIAL ANALYSIS RESEARCH |
Kieli: | eng |
Tiivistelmä: | Recent research shows that emerging markets are distinguished by high returns and low covariances with global market factors. To check whether these results can be attributed to their recent emergence, the authors simulate a simple, general model of global markets with a realistic survival process. The simulations reveal a number of new effects. The authors find that pre-emergence returns are systematically lower than post-emergence returns, and that the brevity of a market history is related to the bias in returns as well as to the world beta. |
SCIMA