Asset Pricing in the Asian Emerging Markets
Author | : Chien-Hsiu Lin |
Publisher | : |
Total Pages | : 226 |
Release | : 2007 |
ISBN-10 | : 0549317821 |
ISBN-13 | : 9780549317821 |
Rating | : 4/5 (821 Downloads) |
Download or read book Asset Pricing in the Asian Emerging Markets written by Chien-Hsiu Lin and published by . This book was released on 2007 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second chapter provides the literature about general types of cross-sectional anomalies and models used in developed countries to explain the anomalies. Due to the time-varying returns of the emerging markets which is different from the developed markets, we postulate that it is problematic if we use traditional factor model to measure the risk exposure of the anomalies in the emerging markets. We characterize that candidates of risk attributes for the emerging markets can be grouped related to: country's credit risk, macroeconomic risk, market integration, persistence and fundamental valuation measures.