Institutional Investors And Asset Pricing In Emerging Markets
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Author | : Ms.Elaine Karen Buckberg |
Publisher | : International Monetary Fund |
Total Pages | : 25 |
Release | : 1996-01-01 |
Genre | : Business & Economics |
ISBN | : 145184171X |
This paper presents a new theory of asset pricing intended to address why other developing country equity markets responded so strongly to the Mexican devaluation, while the world’s major stock markets were unmoved. This phenomenon can be explained if investors follow a two-step portfolio allocation process, first determining what share of their portfolio to invest in developing countries, then allocating those funds across the emerging markets. For 12 of 13 markets studied, the one-factor CAPM is rejected in favor of a two-factor asset pricing model, including both a broad emerging markets portfolio and the global market portfolio.
Author | : Elaine Buckberg |
Publisher | : |
Total Pages | : 18 |
Release | : 1996 |
Genre | : |
ISBN | : |
Author | : Mr.Brian J. Aitken |
Publisher | : International Monetary Fund |
Total Pages | : 26 |
Release | : 1996-04-01 |
Genre | : Business & Economics |
ISBN | : 145197888X |
In the past few years there has been a large increase in portfolio capital flows into emerging markets, mostly fueled by mutual funds and other institutional investors. Based on a simple variance ratio test, this paper finds that emerging stock markets as a group experienced a sharp increase in autocorrelation in total returns at a time when institutional investors began to significantly expand their holdings in these markets. These results are consistent with the view that institutional investor sentiment toward emerging markets as an asset class can at times play a critical role in determining asset prices, with shifts in sentiment resulting in periods of bubble-like booms and busts and asset price overshooting.
Author | : Ila Patnaik |
Publisher | : International Monetary Fund |
Total Pages | : 38 |
Release | : 2013-04-22 |
Genre | : Business & Economics |
ISBN | : 1484340469 |
The literature on the investment technology of foreign versus domestic investors has inconclusive results. This paper revisits the question, with a focus on decomposing portfolio performance into asset allocation and security selection. We document signicant differences in exposure to systematic asset pricing factors between foreign and domestic investors. A quasi-experimental strategy is introduced, for comparing security selection after controlling for diferences in asset allocation. Our results show that foreign investors in India do remarkably poorly at security selection.
Author | : Sith Chaisurote |
Publisher | : |
Total Pages | : 188 |
Release | : 2009 |
Genre | : |
ISBN | : |
Author | : Brian Aitken |
Publisher | : |
Total Pages | : 26 |
Release | : 2006 |
Genre | : |
ISBN | : |
In the past few years there has been a large increase in portfolio capital flows into emerging markets, mostly fueled by mutual funds and other institutional investors. Based on a simple variance ratio test, this paper finds that emerging stock markets as a group experienced a sharp increase in autocorrelation in total returns at a time when institutional investors began to significantly expand their holdings in these markets. These results are consistent with the view that institutional investor sentiment toward emerging markets as an asset class can at times play a critical role in determining asset prices, with shifts in sentiment resulting in periods of bubble-like booms and busts and asset price overshooting.
Author | : Punam Chuhan |
Publisher | : World Bank Publications |
Total Pages | : 45 |
Release | : 1994 |
Genre | : Capital investments |
ISBN | : |
Major institutional investors in five industrial countries invest cautiously, and very little, in emerging market securities. But only in Germany are regulations on foreign investment a significant constraint.
Author | : Jerome Booth |
Publisher | : John Wiley & Sons |
Total Pages | : 280 |
Release | : 2014-04-21 |
Genre | : Business & Economics |
ISBN | : 1118879678 |
The world is upside down. The emerging market countries are more important than many investors realise. They have been catching up with the West over the past few decades. Greater market freedom has spread since the end of the Cold War, and with it institutional changes which have further assisted emerging economies in becoming more productive, flexible, and resilient. The Western financial crisis from 2008 has quickened the pace of the relative rise of emerging markets - their relative economic power, and with it political power, but also their financial power as savers, investors and creditors. Emerging Markets in an Upside Down World - Challenging Perceptions in Asset Allocation and Investment argues that finance theory has misunderstood risk and that this has led to poor investment decisions; and that emerging markets constitute a good example of why traditional finance theory is faulty. The book accurately describes the complex and changing global environment currently facing the investor and asset allocator. It raises many questions often bypassed because of the use of simplifying assumptions and models. The narrative builds towards a checklist of issues and questions for the asset allocator and investor and then to a discussion of a variety of regulatory and policy issues. Aimed at institutional and retail investors as well as economics, finance, business and international relations students, Emerging Markets in an Upside Down World covers many complex ideas, but is written to be accessible to the non-expert.
Author | : Narjess Boubakri |
Publisher | : Emerald Group Publishing |
Total Pages | : 402 |
Release | : 2011-09-27 |
Genre | : Business & Economics |
ISBN | : 1780522436 |
Examines various issues concerning the strategies of institutional investors, the role of institutional investors in corporate governance, their impact on local and international capital markets, as well as the emergence of sovereign and other asset management funds and their interactions with micro and macro economic and market environments.
Author | : Gordon L Clark |
Publisher | : Oxford University Press |
Total Pages | : 247 |
Release | : 2017-05-19 |
Genre | : Business & Economics |
ISBN | : 0192511688 |
Institutional Investors in Global Market provides you with a comprehensive overview about what institutional investors do, how they do it, and when and where they do it; it is about the production of investment returns in the global economy. Being a book about the production process, you learn about key issues found in the academic literature on the theory of the firm. In this case, the focus is on the global financial services industry, where the building blocks underpinning the study of industrial corporations are less relevant. You gain an understanding of how and why the production of investment returns differs from that of manufactured goods. You are provided with an analytical framework that situates financial institutions within the complex web of the intermediaries that dominate developed financial markets. In summary, you gain further insights into analysis of the organization and management of institutional investors; as well as an analysis of the global financial services industry.