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  -