Expropriation Risk and Return in Global Equity Markets
Title | Expropriation Risk and Return in Global Equity Markets PDF eBook |
Author | Magnus Dahlquist |
Publisher | |
Pages | 35 |
Release | 2008 |
Genre | |
ISBN |
Standard asset pricing models have difficulty explaining cross-sectional differences in observed equity risk premia of developed and emerging markets. We argue that national equity returns are subject to sample selectivity. The lack of credible commitment to keep capital markets open (risk of expropriation) leads to this bias. We use the world CAPM for systematic risk and develop a model of sample selectivity. We find that after taking account of the sample selectivity bias, our model of systematic risk can account for the differences in risk premia quite well. We estimate the average expropriation risk to be more than 1/2 of the ex-post risk premium for emerging economies and close to zero for developed economies. Further, we argue that the measured selectivity bias in equity premia provide valuable economic information regarding the incentives for sovereigns not to expropriate international investors. We find that the measured expropriation risk is related to reputations in capital markets (as argued in Eaton and Gersowitz, 1981) and to the magnitude of trade that an economy conducts (as argued in Bulow and Rogoff, 1989a, 1989b).
Sovereign Risk and Return in Global Equity Markets
Title | Sovereign Risk and Return in Global Equity Markets PDF eBook |
Author | Ravi Bansal |
Publisher | |
Pages | 54 |
Release | 2001 |
Genre | Equilibrium (Economics) |
ISBN |
Expropriation Risk by Block Holders, Institutional Quality and Expected Stock Returns
Title | Expropriation Risk by Block Holders, Institutional Quality and Expected Stock Returns PDF eBook |
Author | Bruce Allen Hearn |
Publisher | |
Pages | 63 |
Release | 2017 |
Genre | |
ISBN |
We study the asset pricing implications arising from imperfect investor protection using a new governance measure. This is defined as the product of institutional quality in a country and the proportion of free float shares, which captures the impact of controlling block holders. Using monthly returns of 4,756 blue chip firms from 50 international equity markets for 13 years, we show through tests of variants of the augmented-CAPM, that a two factor CAPM augmented with a factor mimicking portfolio based on our new investor protection metric yields the highest explanatory power, especially for markets that exhibit true variation in ownership types.
Economic Effects of Transparency in International Equity Markets
Title | Economic Effects of Transparency in International Equity Markets PDF eBook |
Author | Mark Lang |
Publisher | Now Publishers Inc |
Pages | 79 |
Release | 2011 |
Genre | Business & Economics |
ISBN | 1601984480 |
This monograph reviews the existing accounting, finance and economics literature on the economic effects of transparency in international equity markets, considers aspects of an international setting that make it an interesting environment for investigating these effects, and suggests directions for future research
Perspectives on Fundamental Values and the Risk Return Relationship in Global Equity Markets
Title | Perspectives on Fundamental Values and the Risk Return Relationship in Global Equity Markets PDF eBook |
Author | Christian Lundblad |
Publisher | |
Pages | 238 |
Release | 2000 |
Genre | Investments |
ISBN |
Sources of risk and expected returns in global equity markets
Title | Sources of risk and expected returns in global equity markets PDF eBook |
Author | Wayne E. Ferson |
Publisher | |
Pages | 43 |
Release | 1994 |
Genre | |
ISBN |
Risk and Return of Equity Markets
Title | Risk and Return of Equity Markets PDF eBook |
Author | Gagan Deep Sharma |
Publisher | LAP Lambert Academic Publishing |
Pages | 228 |
Release | 2011-11 |
Genre | |
ISBN | 9783847301752 |
Formed in 1985, South Asian Association for Regional Cooperation (SAARC) emerges as a significant region in the world in terms of economic and political system. As the flow of capital from all around the world comes into the developing and under-developed economies, SAARC nations are becoming the cynosure for global investors. This leads to an increased interest of the world in the stock markets of SAARC nations. The stock markets of SAARC countries, transforming from low to medium and high growth trajectory, are supposed to yield better rewards than the developed economies' stock markets. While the international investors (institutional as well as individual) are looking for the stock exchanges in the region for diversifying their investments, diversification within the region is also catching the eye of investors and financial analysts. It is with this background that the topic of researching on the risk and return from equity markets of SAARC nations is chosen.