Value Investing in Emerging Markets: Risks and Benefits

Vladislav Kargin ()

International Finance from EconWPA

Abstract: This paper identifies a subset of emerging markets that have higher than average expected returns and studies risk properties of this subset by investment simulations. It is found that: (1) the portfolio of "value" emerging markets generates superior returns, and (2) statistical measures of its risk are close to the corresponding measures for the portfolio of all emerging markets. The statistical significance of these results were checked by a bootstrap procedure. The results imply that the optimal share of emerging markets increases from 0% for an equally weighted portfolio to about 25% for the portfolio of undervalued emerging markets.

Keywords: emerging markets; investment simulations; bootstrap (search for similar items in EconPapers)
JEL-codes: G15 F47 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn and nep-rmg
Date: 2003-09-09
Note: Type of Document - PDF; prepared on IBM PC ; pages: 11; figures: included. Published in Emerging Markets Review
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http://129.3.20.41/eps/if/papers/0309/0309005.pdf (application/pdf)

Related works:
Journal Article: Value investing in emerging markets: risks and benefits (2002)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpif:0309005

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