Risk factors affecting emerging market investable stocks

By continuing to browse this site you agree to us using cookies as described in About Cookies.

Biotech Industry, Biotech News, Biotechnology Articles — FierceBiotech

Previous article in issue: Estimating Volatility Persistence in Oil Prices Under Structural Breaks. Next article in issue: Idiosyncratic Risk in Emerging Markets.

Siena College, Loudon Rd, Loudonville, NY ; Phone: This paper shows that portfolios of more investable securities bear a premium when compared to portfolios of less investable stocks, reflecting compensation for local risk factors. The investable premium is overwhelmingly priced across 3, companies traded in 29 emerging markets from to The investable premium impacts stock returns at least as much as other fundamental premiums such as size, value, momentum, and loads on political, economic, and financial risk factors.

The impact of the investable premium on emerging stocks returns has increased in strength, implying that foreign ownership has greater influence on local markets in recent years.

Powered by Wiley Online Library. By continuing to browse this site you agree to us using cookies as described in About Cookies Remove maintenance message.

EDHEC-Risk - All EDHEC-Risk Publications

Go to old article view Get access. Estimating Volatility Persistence in Oil Prices Under Structural Breaks Previous article in issue: Estimating Volatility Persistence in Oil Prices Under Structural Breaks Next article in issue: Idiosyncratic Risk in Emerging Markets Next article in issue: Empirical Evidence of the Existence of Investable Premiums in Emerging Market Investable Stocks Authors Eric C.

Girard Corresponding author Siena College Search for more papers by this author.

First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)

Set citation alert Citing literature. Abstract This paper shows that portfolios of more investable securities bear a premium when compared to portfolios of less investable stocks, reflecting compensation for local risk factors.

Format Available Full text: Keywords multifactor model; investable premium; emerging markets F3; G1; N2. Publication History Issue online: Articles related to the one you are viewing Please enable Javascript to view the related content of this article. Number of times cited: Evidence from ADRs, Financial Review , , 48 , 2, Wiley Online Library.