Distributional characteristics of emerging market returns and asset allocation

被引：151

作者：

Bekaert, G ^{[1
]}

Erb, CB

Harvey, CR

Viskanta, TE

机构：

[1] Stanford Univ, Stanford, CA 94305 USA

[2] Natl Bur Econ Res, Cambridge, MA 02138 USA

[3] First Chicago NBD Investment Management Co, Chicago, IL 60670 USA

[4] Duke Univ, Fuqua Sch Business, Durham, NC 27708 USA

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 1998年 / 24卷 / 02期

关键词：

D O I：

10.3905/jpm.24.2.102

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The behavior of emerging market returns differs sharply from the behavior of developed equity market returns. While forecasts of expected returns and volatilities in emerging markets have been extensively studied, the authors focus primarily on skewness and kurtosis. They examine whether these moments have changed over time and what drives their cross-sectional variation. Finally, they detail the implications for asset allocation.

引用

页码：102 / +

页数：16

共 15 条

[1] MARKET INTEGRATION AND INVESTMENT BARRIERS IN EMERGING EQUITY MARKETS [J].