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Re-Emerging Markets

Part of:JFQA William F. Sharpe Best Paper Award Winner

Published online by Cambridge University Press:  06 April 2009

William N. Goetzmann and
Philippe Jorion
William N. Goetzmann
Affiliation:
Yale University, School of Management, Box 208200, New Haven, CT 06520–8200
Philippe Jorion
Affiliation:
University of California at Irvine, Graduate School of Management, 350 GSM, Irvine, CA 92697–3125
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Abstract

Recent research shows that emerging markets are distinguished by high returns and low covariances with global market factors. To check whether these results can be attributed to their recent emergence, we simulate a simple, general model of global markets with a realistic survival process. The simulations reveal a number of new effects. We find that pre-emergence returns are systematically lower than post-emergence returns, and that the brevity of a market history is related to the bias in returns as well as to the world beta. These patterns are confirmed by an empirical analysis of emerging and submerged markets.

Information

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 34 , Issue 1 , March 1999, pp. 1 - 32
Copyright
Copyright © School of Business Administration, University of Washington 1999

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