Erschienen in:Ca’ Foscari University of Venice Department of Economics Working Paper ; No. 22/WP/2012
Umfang:
1 Online-Ressource (18 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2156179
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 1, 2012 erstellt
Beschreibung:
This paper studies the dynamics of emerging excess returns in a industry-by-industry context. Differently from the recent financial literature, which mainly focuses on 'total market indexes', we perform a standard ex-post empirical analysis aimed at capturing the industries' contribution to country stock performances. We obtain three key empirical findings. First, at industry level, we confirm the 'high performance-high volatile nature' as well as the time-varying component of emerging excess returns. Second, at country level and in a dynamic context, we detect those industries that mainly contribute to the presence of emerging stock premia. Third, we show that some industries are much more exposed to global factors than others. We argue that these results display relevant implications for portfolio diversification and reflect consumption smoothing motive