The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets' Stocks

• Tipo: Artigo em Revista Científica Internacional
• Data: 2003

Autores

Serra, AP (Autor) FEP

Revista

Título: Journal of Emerging Market Finance

Vol. 2

Páginas: 123-162

ISSN: 0972-6527

Outras Informações

ID Authenticus: P-00Y-FHA

DOI: 10.1177/097265270300200201

Abstract (EN): <jats:p> This article looks at the cross section of stock returns for the particular case of emerging markets. For each of the 21 emerging markets, I investigate the role of a set of a priori specified factors in the cross section of returns and subsequently assess whether the important factors are common. I use data on emerging markets' individual stocks from the Emerging Markets Data Base (IFC). My results indicate that the most important pricing factors are common to the emerging markets in my sample and that these factors are similar to those identified for mature markets. Among the top six factors are technical factors and price level attributes. The pay-offs to these factors are not correlated, suggesting that even if investors across markets elect similar factors to price assets, premia are local. </jats:p>

Idioma: Inglês

Tipo (Avaliação Docente): Científica