Studies of Equity Returns in Emerging Markets: A Literature Review

29 Pages Posted: 2 Jun 2014 Last revised: 28 Jul 2015

See all articles by Yigit Atilgan

Yigit Atilgan

Sabanci University

K. Ozgur Demirtas

Sabanci University Graduate School of Management

Koray D. Simsek

Rollins College - Crummer Graduate School of Business

Date Written: January 26, 2014

Abstract

We review the literature on empirical asset pricing in emerging markets. This literature is quite diverse and almost thirty years old. In order to make this task manageable, we focus on equity markets and limit the topics to return predictability and volatility modeling as well as restricting the review to the set of top journals in finance and those that specialize on emerging markets.

Keywords: risk-return relation, volatility, emerging markets, literature review

JEL Classification: G12, G14, G15

Suggested Citation

Atilgan, Yigit and Demirtas, K. Ozgur and Simsek, Koray D., Studies of Equity Returns in Emerging Markets: A Literature Review (January 26, 2014). Emerging Markets Finance and Trade, Vol. 51, No. 4, 2015. Available at SSRN: https://ssrn.com/abstract=2441823 or http://dx.doi.org/10.2139/ssrn.2441823

Yigit Atilgan (Contact Author)

Sabanci University ( email )

Orta Mahalle Üniversite Caddesi 27
Istanbul, Orhanli, 34956 Tuzla 34956
Turkey

K. Ozgur Demirtas

Sabanci University Graduate School of Management ( email )

Sabanci University, School of Management
Orhanli Tuzla
Orhanlı-Tuzla, Istanbul, 34956
Turkey
(+90) 216-483-9985 (Phone)
(+90) 216-483-9699 (Fax)

Koray D. Simsek

Rollins College - Crummer Graduate School of Business ( email )

Winter Park, FL 32789
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
368
Abstract Views
1,288
rank
80,747
PlumX Metrics