Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry

• 成果类型: Article
• 署名作者: Ghysels, Eric; Plazzi, Alberto; Valkanov, Rossen
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; Center for Economic & Policy Research (CEPR); Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University of California System; University of California San Diego
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12420
• 发表日期: 2016
• 页码: 2145-2191
• 关键词: HIGHER MOMENTS; REGRESSION QUANTILES; asset prices; skewness; RISK; volatility; preference; heteroskedasticity; allocation; valuation

摘要

We propose a quantile-based measure of conditional skewness, particularly suitable for handling recalcitrant emerging market (EM) returns. The skewness of international stock market returns varies significantly across countries over time, and persists at long horizons. In EMs, skewness is mostly positive and idiosyncratic, and significantly relates to a country's financial and trade openness and balance of payments. In an international portfolio setting, return asymmetry leads to sizeable certainty-equivalent gains and increases the weight on emerging countries to about 30%. Investing in EMs seems to be about expectations of a higher upside than down-side, consistent with recent theories.