Institutional Investors And Asset Pricing In Emerging Markets PDF Download
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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 |
Download Institutional Investors and Asset Pricing in Emerging Markets Book in PDF, ePub and Kindle
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 | : |
Download Institutional Investors and Asset Pricing in Emerging Markets Book in PDF, ePub and Kindle
| Author | : Mr.Brian J. Aitken |
| Publisher | : International Monetary Fund |
| Total Pages | : 26 |
| Release | : 1996-04-01 |
| Genre | : Business & Economics |
| ISBN | : 145197888X |
Download Have Institutional Investors Destabilized Emerging Markets? Book in PDF, ePub and Kindle
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 |
Download The Investment Technology of Foreign and Domestic Institutional Investors in an Emerging Market Book in PDF, ePub and Kindle
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 | : |
Download International Institutional Investors and Asset Prices in Emerging Markets Book in PDF, ePub and Kindle
| Author | : Brian Aitken |
| Publisher | : |
| Total Pages | : 26 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
Download Have Institutional Investors Destabilized Emerging Markets? Book in PDF, ePub and Kindle
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 | : Jerome Booth |
| Publisher | : John Wiley & Sons |
| Total Pages | : 280 |
| Release | : 2014-06-03 |
| Genre | : Business & Economics |
| ISBN | : 111887966X |
Download Emerging Markets in an Upside Down World Book in PDF, ePub and Kindle
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 | : Punam Chuhan |
| Publisher | : World Bank Publications |
| Total Pages | : 45 |
| Release | : 1994 |
| Genre | : Capital investments |
| ISBN | : |
Download Are Institutional Investors an Important Source of Portfolio Investment in Emerging Markets? Book in PDF, ePub and Kindle
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 | : Narjess Boubakri |
| Publisher | : Emerald Group Publishing |
| Total Pages | : 402 |
| Release | : 2011-09-27 |
| Genre | : Business & Economics |
| ISBN | : 1780522436 |
Download Institutional Investors In Global Capital Markets Book in PDF, ePub and Kindle
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 | : |
| Publisher | : |
| Total Pages | : |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
Download Asset Pricing in Emerging Capital Markets: Stock Returns, Trading Volume, and Returns Volatility Book in PDF, ePub and Kindle
In this thesis, I investigate diverse aspects of capital market efficiency in selected emerging markets. In chapter 2, the focus of analysis is on the role of trading volume and capitalisation in the process of information absorption by the stock prices. Empirical analysis is conducted for stocks listed on the Warsaw Stock Exchange (WSE) and it can be shown that stocks with higher trading volume and larger capitalisation adjust to common information quicker than their low volume, small capitalisation counterparts. In chapter 3, a dynamic relationship between trading volume and subsequent stock returns is investigated. The results are interpreted in light of existing theoretical models. It is argued that empirical evidence indicates that most of the trades on the WSE are conducted due to liquidity needs or changing preferences of investors, and are not driven by arrivals of private information. The impact of institutional investors on market efficiency is investigated in chapter 4. This analysis is based on diverse theoretical models, most of which arguing that institutional trading deteriorates market efficiency by increasing autocorrelation in stock returns. However, an empirical investigation conducted for WSE stocks traded most intensively by pension funds reveals that the impact of institutional trading on market efficiency is beneficial. Namely, stocks traded by institutions are characterised by lower autocorrelation than the remaining ones, which indicates their quicker adjustment to news and, hence, higher efficiency. Last, we analyse international financial spillovers in chapter 4. For the US and eight Asian markets, it is investigated whether, and to what extent, news originating in one country are incorporated into security prices abroad. The main result of this empirical work is that the US market leads the Asian ones. However, under certain conditions such as exceptionally high volatility or low returns, Asian markets might exert significant influence on.
