مزایای بازار نوظهور، سرمایه گذاری و حاکمیت قانون

We revisit the Barry, Peavy and Rodriguez (1998) paper and investigate the underlying source of emerging market performance benefits. We classify stocks according to their investability and legal origin. Emerging markets continue to represent the performance benefits they had during the Barry et al. (1998) period by providing not only return enhancement but primarily risk-reduction. More specifically, we find that an investor can achieve greater benefits by focusing on a limited set of emerging markets with a French civil law foundation and that are moderately investable stocks.

Returns for each country were calculated based on the aggregation of the market weighted returns for each stock for each time period. View the MathML sourceCountryReturnt=∑LocalReturnit*Mit−1MCt−1□ Turn MathJax on where Mct − 1 Total market capitalization of the country at specific time period Mit − 1 Market capitalization of the stock at specific time period Local Returnit Calculated return per share of the stock at time t The aggregate of the share returns in local currency for each country was then multiplied by the appreciation/depreciation of the currency for each country for the given time period such that: View the MathML sourceReturnct=(1+CountryReturnct)*ERctERct−1−1 Turn MathJax on where Country Returnct Calculated return per country for time period t