The Cross-Sectional Determinants of Emerging Equity Market Returns
46 Pages Posted: 25 Oct 2005 Last revised: 7 Aug 2020
Date Written: November 1, 1996
We explore the cross-sectional determinants of emerging equity market returns. We find that the behavior of emerging market returns differs substantially from the behavior of developed equity market returns and that these differences have persisted in the period ending June 1996. While there are some similarities between the cross-sectional determinants of emerging and developed market equity returns, emerging market strategies must take into account the special characteristics of these markets. In particular, the degree of integration of these markets with world equity markets has changed through time. This time-varying integration must be taken into account in asset allocation strategies.
This is the final working paper version of a chapter we wrote for a book published in 1997.
Keywords: emerging market returns, predicting equity returns, factors, active management, market integration, asset allocation, emerging markets, time-varying integration
JEL Classification: G15, G11, G12
Suggested Citation: Suggested Citation