English, Article, Journal or magazine article edition: The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets' Stocks Ana Paula Serra

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets' Stocks
Author
  • Ana Paula Serra
Physical Description
  • preprint
Notes
  • This paper looks at the cross-section of stock returns for the particular case of emerging markets. For each of 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 important factors are similar to those identified for mature markets. Among the top six factors are technical factors and price level attributes. The payoffs to these factors are not correlated suggesting that even if investors across markets elect similar factors to price assets, premia are local.
  • International Asset Pricing; Emerging Markets
  • RePEc:por:fepwps:120
Language
  • English
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