The Cross-Sectional Determinants of Emerging Equity Market Returns

46 Pages Posted: 25 Oct 2005 Last revised: 7 Aug 2020

See all articles by Geert Bekaert

Geert Bekaert

Columbia Business School - Finance and Economics

Claude B. Erb

TR

Campbell R. Harvey

Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER)

Tadas E. Viskanta

Ritholtz Wealth Management

Date Written: November 1, 1996

Abstract

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

Bekaert, Geert and Erb, Claude B. and Harvey, Campbell R. and Viskanta, Tadas, The Cross-Sectional Determinants of Emerging Equity Market Returns (November 1, 1996). Available at SSRN: https://ssrn.com/abstract=826454 or http://dx.doi.org/10.2139/ssrn.826454

Geert Bekaert

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
United States

Claude B. Erb

TR ( email )

CA 90272
United States

Campbell R. Harvey (Contact Author)

Duke University - Fuqua School of Business ( email )

Box 90120
Durham, NC 27708-0120
United States
919-660-7768 (Phone)

HOME PAGE: http://www.duke.edu/~charvey

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Tadas Viskanta

Ritholtz Wealth Management ( email )

24 West 40th Street
New York, NY 10018
United States

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