DISTRIBUTIONAL CHARACTERISTICS OF EMERGING MARKET RETURNS AND ASSET ALLOCATION

Authors
BEKAERT G ERB CB HARVEY CR VISKANTA TE
Citation
G. Bekaert et al., DISTRIBUTIONAL CHARACTERISTICS OF EMERGING MARKET RETURNS AND ASSET ALLOCATION, Journal of portfolio management, 24(2), 1998, pp. 102
Citations number
15
Categorie Soggetti
Business Finance
Journal title
Journal of portfolio management → ACNP
ISSN journal
00954918
Volume
24
Issue
2
Year of publication
1998
Database
ISI
SICI code
0095-4918(1998)24:2<102:DCOEMR>2.0.ZU;2-B
Abstract
The behavior of emerging market returns differs sharply from the behav ior of developed equity market returns. While forecasts of expected re turns and volatilities in emerging markets have been extensively studi ed, the authors focus primarily on skewness and kurtosis. They examine whether these moments have changed over time and what drives their cr oss-sectional variation. Finally, they detail the implications for ass et allocation.