Re-Emerging Markets

Posted: 30 Dec 1998  

William N. Goetzmann

Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Philippe Jorion

University of California, Irvine - Paul Merage School of Business

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Abstract

Recent research shows that emerging markets are distinguished by high returns and low covariances with global market factors. To check whether these results can be attributed to their recent emergence, we simulate a simple, general model of global markets, with a realistic survival process. The simulations reveal a number of new effects. We find that pre-emergence returns are systematically lower than post-emergence returns, and that the brevity of a market history is related to the bias in returns as well as to the world beta. These patterns are confirmed by an empirical analysis of emerging and submerged markets.

JEL Classification: G12, G15

Suggested Citation

Goetzmann, William N. and Jorion, Philippe, Re-Emerging Markets. Journal of Financial and Quantitative Analysis, March 1999. Available at SSRN: https://ssrn.com/abstract=142143

William N. Goetzmann

Yale School of Management - International Center for Finance ( email )

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National Bureau of Economic Research (NBER)

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Philippe Jorion (Contact Author)

University of California, Irvine - Paul Merage School of Business ( email )

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