Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. Policy Development and Review Department, issuing body.
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| ISBN: | 1455253359
9781455253357
1462371302
9781462371303
1455266582
9781455266586
1281096008
9781281096005
9786613776228
661377622X
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| Notes: | Includes bibliographical references (pages 17-18).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | Annotation This paper presents a new theory of asset pricing intended to address why other developing country equity markets responded so strongly to the Mexican devaluation, while the worlds major stock markets were unmoved. This phenomenon can be explained if investors follow a two-step portfolio allocation process, first determining what share of their portfolio to invest in developing countries, then allocating those funds across the emerging markets. for 12 of 13 markets studied, the one-factor CAPM is rejected in favor of a two-factor asset pricing model, including both a broad emerging markets portfolio and the global market portfolio.
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| Other form: | Print version: Buckberg, Elaine Karen. Institutional investors and asset pricing in emerging markets. [Washington, D.C.] : International Monetary Fund, Policy Development and Review Dept., ©1996
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