Studies of Equity Returns in Emerging Markets: A Literature Review
29 Pages Posted: 2 Jun 2014 Last revised: 28 Jul 2015
Date Written: January 26, 2014
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: Suggested Citation