Abstract

http://ssrn.com/abstract=2435716
 


 



Long-Term Private Sector External Debt and Equity Returns: Cross-Sectional Evidence from 26 Emerging and Frontier Markets


Vichet Sum


University of Maryland Eastern Shore - School of Business and Technology

May 11, 2014


Abstract:     
This study examines the extent to which long-term private sector external debt impacts stock market return across 26 emerging and frontier markets. The results indicate a statistically significant, positive relationship (r = 0.527, p < 0.01) between the average long-term private sector external debt and stock market long-run average return. On average, a $1 billion increase in long-term private sector external debt is associated with 0.048% increase in the stock market long-run average return. Looking at the January returns only, on average, a $1 billion increase in long-term private sector external debt is associated with 0.059% increase in the stock market long-run average return. This study finds no evidence of nonlinear effect of average long-term private sector external debt on stock market long-run average return. The findings imply that higher long-term private sector external debt benefits equity markets in emerging and frontier markets.

Number of Pages in PDF File: 12

Keywords: long-term external debt, private sector, stock market returns

JEL Classification: H63, G10, G11, G15

working papers series


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Date posted: May 12, 2014 ; Last revised: May 20, 2014

Suggested Citation

Sum, Vichet, Long-Term Private Sector External Debt and Equity Returns: Cross-Sectional Evidence from 26 Emerging and Frontier Markets (May 11, 2014). Available at SSRN: http://ssrn.com/abstract=2435716 or http://dx.doi.org/10.2139/ssrn.2435716

Contact Information

Vichet Sum (Contact Author)
University of Maryland Eastern Shore - School of Business and Technology ( email )
2105 Kiah Hall
Princess Anne, MD 21853
United States
410-651-6531 (Phone)
410-651-6529 (Fax)
HOME PAGE: http://www.umes.edu/bma/Sum.html
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