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Pricing emerging market stock returns : an update

Barclay, R. and Fletcher, Jonathan and Marshall, A.P. (2010) Pricing emerging market stock returns : an update. Emerging Markets Review, 11 (1). pp. 49-61. ISSN 1566-0141

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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

Item type: Article
ID code: 15106
Keywords: emerging markets, asset price models, Finance, Economics and Econometrics, Business and International Management
Subjects: Social Sciences > Finance
Department: Strathclyde Business School > Accounting and Finance
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Depositing user: Miss Donna McDougall
Date Deposited: 03 Feb 2010 16:24
Last modified: 27 Mar 2014 08:48
URI: http://strathprints.strath.ac.uk/id/eprint/15106

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