Browsing by Subject "Emerging markets"
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Article
Closed-end country funds and international diversification
(2006)Using data from 1993 to 2002 for eight developed and fifteen emerging markets, we find that return correlations, mean-variance spanning, and Sharpe ratio tests support that closed-end country funds (CECF) can mimic their ...
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Working Paper Open Access
A Political Capital Asset Pricing Model
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2019-03)We construct a bivariate factor of political stability and economic policy confidence, and show that it commands a significant premium of up to 15% per annum, in the global, developed, and emerging markets, robust to ICAPM, ...