TY - JOUR AU - Harvey, Campbell R TI - Predictable Risk and Returns in Emerging Markets JF - National Bureau of Economic Research Working Paper Series VL - No. 4621 PY - 1994 Y2 - January 1994 DO - 10.3386/w4621 UR - http://www.nber.org/papers/w4621 L1 - http://www.nber.org/papers/w4621.pdf N1 - Author contact info: Campbell R. Harvey Duke University Fuqua School of Business Durham, NC 27708-0120 Tel: 919/660-7768 Fax: 919/660-8030 E-Mail: cam.harvey@duke.edu AB - The emergence of new equity markets in Europe, Latin America, Asia, the Mideast and Africa provides a new menu of opportunities for investors. These markets exhibit high expected returns as well as high volatility. Importantly, the low correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor. However, standard global asset pricing models, which assume complete integration of capital markets, fail to explain the cross-section of average returns in emerging countries. An analysis of the predictability of the returns reveals that emerging market returns are more likely than developed countries to be influenced by local information. ER -