The volatility effect in emerging markets

David Blitz, Juan Pang and Pim Vliet

Emerging Markets Review, 2013, vol. 16, issue C, 31-45

Abstract: We examine the empirical relation between risk and return in emerging equity markets and find that this relation is flat, or even negative. This is inconsistent with theoretical models such as the CAPM, which predict a positive relation, but consistent with the results of studies for developed equity markets. The volatility effect appears to be growing stronger over time, which we argue might be related to the increased delegated portfolio management in emerging markets. Finally, we find that the volatility effect in emerging markets is only weakly related to that in developed equity markets, which argues against a common-factor explanation.

Keywords: Volatility effect; Asset pricing; Emerging markets; CAPM; Alpha; Low volatility (search for similar items in EconPapers)
JEL-codes: F20 G11 G12 G14 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:16:y:2013:i:c:p:31-45

DOI: 10.1016/j.ememar.2013.02.004

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