 The risk and return characteristics of developed and emerging stock markets: the recent evidenceGerald Kohers, Ninon Kohers and Theodor Kohers Applied Economics Letters, 2006, vol. 13, issue 11, 737-743 Abstract: Finance theory suggests that the higher volatility typically associated with emerging stock market returns translates into higher expected returns in those markets. This study compares the risk and return profile of emerging and developed stock markets over the period from 1988 through April 2003. Specifically, this study investigates whether a difference in risk characteristics exists between the two markets and whether the realized rates of return in these two types of markets reflect these risk characteristics. The results show that the risk associated with emerging markets, as measured by the standard deviation of returns, is higher than the risk in developed markets in most periods. Also, the returns in emerging markets have been higher than those in developed markets for most of the time frames examined. The findings suggest that risk-averse investors seeking higher returns in emerging markets have been compensated for assuming the higher risk associated with these markets. Date: 2006 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:13:y:2006:i:11:p:737-743 Ordering information: This journal article can be ordered from DOI: 10.1080/13504850500407210 Access Statistics for this article Applied Economics Letters is currently edited by Anita Phillips More articles in Applied Economics Letters from Taylor & Francis Journals |
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