Abstract

http://ssrn.com/abstract=2050863
 
 

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The Volatility Effect in Emerging Markets


David Blitz


Robeco Asset Management - Quantitative Strategies

Juan Pang


Shell Asset Management Company

Pim Van Vliet


Robeco Asset Management - Quantitative Strategies

April 10, 2012


Abstract:     
We examine the empirical relation between risk and return in emerging equity markets and find that this relation is flat, or even negative. This is inconsistent with theoretical models such as the CAPM, which predict a positive relation, but consistent with the results of studies for developed equity markets. The volatility effect appears to be growing stronger over time, which we argue might be related to the increased delegated portfolio management in emerging markets. Finally, we find that the volatility effect in emerging markets is only weakly related to that in developed equity markets, which argues against a common-factor explanation.

Number of Pages in PDF File: 31

Keywords: volatility effect, asset pricing, emerging markets, CAPM, alpha, low-volatility

JEL Classification: F20, G11, G12, G14, G15

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Date posted: May 6, 2012 ; Last revised: December 18, 2012

Suggested Citation

Blitz, David and Pang, Juan and van Vliet, Pim, The Volatility Effect in Emerging Markets (April 10, 2012). Available at SSRN: http://ssrn.com/abstract=2050863 or http://dx.doi.org/10.2139/ssrn.2050863

Contact Information

David Blitz (Contact Author)
Robeco Asset Management - Quantitative Strategies ( email )
Coolsingel 120
Rotterdam, 3011 AG
Netherlands
Juan Pang
Shell Asset Management Company ( email )
Sir Winston Churchilllaan 366h
Rijswijk, 2285 SJ
Netherlands
Pim Van Vliet
Robeco Asset Management - Quantitative Strategies ( email )
Rotterdam, 3011 AG
Netherlands
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