Abstract
In contrast to the large number of investigations on asset pricing behavior of U.S. and other developed markets, there are few publications about Latin American stock markets. Moreover, the published papers, which test for “anomalies” at a stock level in the Latin American markets, show contradictory results. For this reason and in order to reconcile the results, one question is investigated in this chapter: Are there S-, P/BV-, P/E-, and TO-effects in the LAEM for different sample periods, with different grouping procedures, and different return estimation?
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References
See Fama and French (1992), page 428.
Hawawini and Keim (2000) present a complete survey of papers in which the E/P effect is examined.
See Harvey (1991).
Several factors have been important in the increase of capital flows going to the LAEM. The decline in international interest rates (Calvo, Liderman, and Reinhart (1993)), improved domestic policies and better growth performance (Chuhan et al. (1993)), as well as market liberalization (Claessens and Rhee (1994)), have encouraged the increase of capital flows to these markets.
Harvey (1991) reported an average cross-country correlation of 41% in 17 developed markets for the period February 1970 to May 1989. The average country correlation was computed for six stock markets.
Bakaert and Harvey (1995) show that the degree of market integration changes over the period.
In Zimmerman (1997) there is a complete discussion of the alternative methods for computing β.
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© 2006 Deutscher Universitäts-Verlag/GWV Fachverlage GmbH, Wiesbaden
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(2006). Univariate Portfolio Approach. In: Stock Market Anomalies. DUV. https://doi.org/10.1007/978-3-8350-9103-0_4
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DOI: https://doi.org/10.1007/978-3-8350-9103-0_4
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