Emerging Stock Premia: Do Industries Matter?
Marcella Lucchetta () and
No 2012_22, Working Papers from Department of Economics, University of Venice "Ca' Foscari"
This paper studies the dynamics of emerging excess returns in a industry-by-industry context. Differently from the recent financial literature, which mainly focuses on �total market indexes�, we perform a standard ex-post empirical analysis aimed at capturing the industries� contribution to country stock performances. We obtain three key empirical findings. First, at industry level, we confirm the �high performance-high volatile nature� as well as the time-varying component of emerging excess returns. Second, at country level and in a dynamic context, we detect those industries that mainly contribute to the presence of emerging stock premia. Third, we show that some industries are much more exposed to global factors than others. We argue that these results display relevant implications for portfolio diversification and reflect consumption smoothing motive
Keywords: Industry Excess Returns; Emerging Stock Premia; Time-Varying Performances (search for similar items in EconPapers)
JEL-codes: D82 F36 F44 G11 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2012_22
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