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Risk-Adjusted Performances of World Equity Indices

Yigit Atilgan and K. Ozgur Demirtas

Emerging Markets Finance and Trade, 2016, vol. 52, issue 3, 706-721

Abstract: This article investigates whether equity indices of twenty-four emerging and twenty-eight developed markets compensate their investors equally after adjusting for total or downside risk, and examines the predictive power of reward-to-risk ratios for expected market returns. We find that when all fifty-two markets are ranked based on their alternative reward-to-risk ratios, almost all of the countries in the top (bottom) quartile are emerging (developed) markets. The pooled means of the reward-to-risk ratios are also significantly higher for emerging markets. Both portfolio and regressions analysis reveal that there is a significantly positive relation between various reward-to-risk metrics and expected market returns.

Date: 2016
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Handle: RePEc:mes:emfitr:v:52:y:2016:i:3:p:706-721