کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10476090 | 929533 | 2005 | 31 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Time-varying market integration and expected returns in emerging markets
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
In the last two decades, emerging stock markets have become less segmented from world stock markets. The average annual decrease in segmentation of 0.055, on a [0,1] scale, reduces the cost of capital (measured by dividend yields) by about 11 basis points, and reduces stock returns by about 4.5%. The decline in expected returns is due to a decrease in two types of segmentation. A fall in local segmentation accounts for about 2/3 of the decline in expected returns. The remaining 1/3 is due to a fall in the level of segmentation of the region. These results, which we document for 30 emerging markets, are robust to the addition of control variables.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 78, Issue 3, December 2005, Pages 583-613
Journal: Journal of Financial Economics - Volume 78, Issue 3, December 2005, Pages 583-613
نویسندگان
Frank de Jong, Frans A. de Roon,