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The behavior of emerging market returns

  • Geert Bekaert
  • Claude B. Erb
  • Campbell R. Harvey
  • Tadas E. Viskanta
Part of the The New York University Salomon Center Series on Financial Markets and Institutions book series (SALO, volume 2)

Abstract

The behavior of emerging market returns differs substantially from the behavior of developed equity market returns. We show that these differences have persisted in the period ending March 1996 but, at the same time, document how some salient characteristics of emerging markets vary through time. Finally, we offer some ideas on the forces that drive the cross-section of returns, volatility, skewness, kurtosis and correlation in emerging markets and detail the implications for asset allocation.

Keywords

Average Return Market Return Market Integration Capital Asset Price Model Political Risk 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media Dordrecht 1998

Authors and Affiliations

  • Geert Bekaert
    • 1
  • Claude B. Erb
    • 2
  • Campbell R. Harvey
    • 3
  • Tadas E. Viskanta
    • 2
  1. 1.Stanford UniversityUSA
  2. 2.First Chicago Investment Management Co.USA
  3. 3.Duke UniversityUSA

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