The Volatility Effect in Emerging Markets
- 1 January 2012
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
We examine the empirical relation between risk and return in emerging equity markets and find that this relation is flat, or even negative. This is inconsistentKeywords
This publication has 31 references indexed in Scilit:
- Low Risk Stocks Outperform within All Observable Markets of the WorldSSRN Electronic Journal, 2012
- Agency-Based Asset Pricing and the Beta AnomalySSRN Electronic Journal, 2012
- Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility AnomalyCFA Magazine, 2011
- Know Your VMS ExposureThe Journal of Portfolio Management, 2010
- High idiosyncratic volatility and low returns: International and further U.S. evidenceJournal of Financial Economics, 2009
- Agency and Asset PricingSSRN Electronic Journal, 2008
- Idiosyncratic Volatility and the Cross Section of Expected ReturnsJournal of Financial and Quantitative Analysis, 2008
- The Volatility EffectThe Journal of Portfolio Management, 2007
- The Cross‐Section of Volatility and Expected ReturnsThe Journal of Finance, 2006
- Beta and ReturnThe Journal of Portfolio Management, 1993