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Risk and return in emerging markets: Family matters

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  • Estrada, Javier
  • Serra, Ana Paula

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  • Estrada, Javier & Serra, Ana Paula, 2005. "Risk and return in emerging markets: Family matters," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 257-272, July.
    • Handle: RePEc:eee:mulfin:v:15:y:2005:i:3:p:257-272
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    References listed on IDEAS

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    1. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross Section of Stock Returns," Journal of Finance, American Finance Association, vol. 54(4), pages 1325-1360, August.
    2. repec:bla:jfinan:v:53:y:1998:i:6:p:1975-1999 is not listed on IDEAS
    3. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
    4. Stephen Godfrey & Ramon Espinosa, 1996. "A Practical Approach To Calculating Costs Of Equity For Investments In Emerging Markets," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(3), pages 80-90, September.
    5. Pereiro, Luis E., 2001. "The valuation of closely-held companies in Latin America," Emerging Markets Review, Elsevier, vol. 2(4), pages 330-370, December.
    6. K. Geert Rouwenhorst, 1999. "Local Return Factors and Turnover in Emerging Stock Markets," Journal of Finance, American Finance Association, vol. 54(4), pages 1439-1464, August.
    7. Litzenberger, Robert H. & Ramaswamy, Krishna, 1979. "The effect of personal taxes and dividends on capital asset prices : Theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 7(2), pages 163-195, June.
    8. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    9. Donald R. Lessard, 1996. "Incorporating Country Risk In The Valuation Of Offshore Projects," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(3), pages 52-63, September.
    10. Estrada, Javier, 2002. "Systematic risk in emerging markets: the," Emerging Markets Review, Elsevier, vol. 3(4), pages 365-379, December.
    11. Ana Paula Serra, 2003. "The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets' Stocks," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 2(2), pages 123-162, May.
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    Citations

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    Cited by:

    1. Ali, Heba & Hegazy, Aya Yasser, 2022. "Dividend policy, risk and the cross-section of stock returns: Evidence from India," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 169-192.
    2. Mabekebeke Segojane & Godfrey Ndlovu, 2022. "An Investigation of the Beta Anomaly in Emerging Markets: A South African Case," JRFM, MDPI, vol. 15(5), pages 1-18, May.
    3. Bárbara Ruth Trejo Becerril & Alberto Gallegos David, 2021. "Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-26, Abril - J.
    4. Houda Hafsa & Dorra Hmaied, 2012. "Are Downside Higher Order Co-Moments Priced? : Evidence From The French Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(1), pages 65-81.
    5. Asgar Ali & K. N. Badhani, 2023. "Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 27-43, February.
    6. Bárbara Ruth Trejo Becerril & Alberto Gallegos David, 2021. "Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-26, Abril - J.
    7. Fuenzalida, Darcy & Mongrut, Samuel, 2010. "Estimation Of Discount Rates In Latin America: Empirical Evidence And Challenges," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 15(28), pages 7-43.
    8. Kortas, Mohamed & L'Her, Jean-Francois & Roberge, Mathieu, 2005. "Country selection of emerging equity markets: benefits from country attribute diversification," Emerging Markets Review, Elsevier, vol. 6(1), pages 1-19, April.
    9. Tamara Teplova & Evgeniya Shutova, 2011. "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 157-178, December.
    10. Shu Ling Lin, 2008. "Conditional risk and return in Asian emerging markets: evidence from the banking sector," Applied Economics, Taylor & Francis Journals, vol. 40(24), pages 3173-3183.
    11. Iqbal, Javed & Brooks, Robert, 2007. "Alternative beta risk estimators and asset pricing tests in emerging markets: The case of Pakistan," Journal of Multinational Financial Management, Elsevier, vol. 17(1), pages 75-93, February.
    12. Anna Rutkowska-Ziarko & Pawel Kliber, 2023. "Multicriteria Portfolio Choice and Downside Risk," JRFM, MDPI, vol. 16(8), pages 1-16, August.
    13. Roy, Rahul & Shijin, Santhakumar, 2022. "The saving, human wealth and asset pricing nexus: Evidence from around the world," Economic Systems, Elsevier, vol. 46(2).
    14. Durand, Robert B. & Lan, Yihui & Ng, Andrew, 2011. "Conditional beta: Evidence from Asian emerging markets," Global Finance Journal, Elsevier, vol. 22(2), pages 130-153.
    15. Tamara Ajrapetova, 2018. "Cross-Section of Asset Returns: Emerging Markets and Market Integration," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2018(1), pages 41-60.
    16. Galagedera, Don U.A. & Brooks, Robert D., 2007. "Is co-skewness a better measure of risk in the downside than downside beta?: Evidence in emerging market data," Journal of Multinational Financial Management, Elsevier, vol. 17(3), pages 214-230, July.
    17. Ali, Heba, 2019. "Does downside risk matter more in asset pricing? Evidence from China," Emerging Markets Review, Elsevier, vol. 39(C), pages 154-174.

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