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Macroeconomic factors and emerging market equity returns: a Bayesian model selection approach [An article from: Emerging Markets Review]
Book Details
Author(s)M.A. Hooker
PublisherElsevier
ISBN / ASINB000RR38CS
ISBN-13978B000RR38C5
AvailabilityAvailable for download now
Sales Rank9,785,575
MarketplaceUnited States 🇺🇸
Description
This digital document is a journal article from Emerging Markets Review, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
Macroeconomics figures prominently in analyses of emerging markets, both as an asset class and for allocations within emerging markets. However, the literature on the drivers of emerging markets equity returns generally pays little attention to macroeconomic factors. This paper investigates the predictive power of several candidate macroeconomic factors for emerging market equity returns using the Bayesian model selection approach developed in Cremers [Cremers, K.J.M., 2002. Stock return predictability: a Bayesian model selection perspective. The Review of Financial Studies 15, 1223-1249]. The results provide strong evidence against all of the macro factors considered with the exception of exchange rate changes and, consistent with the existing literature, provide strong support for several financial factors, but not beta, as significant predictors of excess returns.
Description:
Macroeconomics figures prominently in analyses of emerging markets, both as an asset class and for allocations within emerging markets. However, the literature on the drivers of emerging markets equity returns generally pays little attention to macroeconomic factors. This paper investigates the predictive power of several candidate macroeconomic factors for emerging market equity returns using the Bayesian model selection approach developed in Cremers [Cremers, K.J.M., 2002. Stock return predictability: a Bayesian model selection perspective. The Review of Financial Studies 15, 1223-1249]. The results provide strong evidence against all of the macro factors considered with the exception of exchange rate changes and, consistent with the existing literature, provide strong support for several financial factors, but not beta, as significant predictors of excess returns.
