Market Size Effects and Integration: Emerging vs. Developed Countries

Pungulescu, Crina

doi:10.2139/ssrn.991704

Cited by 3 publications

(1 citation statement)

References 17 publications

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“…can largely explain the abnormal returns for small markets. Finally, Pungulescu (2014), similarly to Zaremba (2016), demonstrates that the size effect is more pronounced in emerging countries than in developed countries, and the size premium exists independently of the segmentation premium documented in the literature. Finally, Zaremba and Umutlu (2018) provide evidence that the country size premium is strongly concentrated in January, as in the case of the firm size effect (Keim 1983;Lamoureux and Sanger 1989;Daniel and Titman 1997).…”

Section: Size Effectmentioning

confidence: 68%

The Cross Section of Country Equity Returns: A Review of Empirical Literature

Zaremba

2019

JRFM

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The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique return-predicting signals such as fund flows or political regimes. Nonetheless, the different studies vary remarkably in terms of their dataset and methods employed. This study aims to provide a comprehensive review of the current literature on the cross-section of country equity returns. We focus on three particular aspects of the asset pricing literature. First, we study the choice of dataset and sample preparation methods. Second, we survey different aspects of the methodological approaches. Last but not least, we review the country-level equity anomalies discovered so far. The discussed cross-sectional return patterns not only provide new insights into international asset pricing but can also be potentially translated into effective country allocation strategies.

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Section: Size Effectmentioning

confidence: 68%

The Cross Section of Country Equity Returns: A Review of Empirical Literature

Zaremba

2019

JRFM

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Predicting Country Equity Returns: Data, Methods, and Empirical Evidence

Miziołek

Feder‐Sempach

Zaremba

2020

International Equity Exchange-Traded Funds

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Integrated versus Segmented Capital Markets: Implications for Financial Decision-Making

Soenen

Johnson

2012

International Finance

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The market risk premium (MRP) remains one of the most debated issues in corporate finance. The MRP is a critical input when measuring a company’s cost of equity and weighted cost of capital. Thus, a company’s estimate of the MRP can have major effects on its capital budgeting decisions. This is especially true when estimating the MRP in emerging markets, where expected returns are widely understood to be affected by variables other than those specified by the capital asset pricing model (CAPM). The purpose of this chapter is to investigate the degree of integration or lack thereof (segmentation) between capital markets and to develop a modified CAPM for financial decision-making in emerging markets.

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Market Size Effects and Integration: Emerging vs. Developed Countries

Cited by 3 publications

References 17 publications

The Cross Section of Country Equity Returns: A Review of Empirical Literature

The Cross Section of Country Equity Returns: A Review of Empirical Literature

Predicting Country Equity Returns: Data, Methods, and Empirical Evidence

Integrated versus Segmented Capital Markets: Implications for Financial Decision-Making

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