Distributional characteristics of emerging market returns and asset allocation: Analyzing returns that cannot be summarized by a normal distribution

Journal of Portfolio Management

Volumn 24, Issue 2, 1998, Pages 102-116

  Bekaert, Geert ^a,b   Erb, Claude B ^c   Harvey, Campbell R ^d   Viskanta, Tadas E ^c  

^a STANFORD UNIVERSITY   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c First Chicago NBD Investm Mgmt Co   (United States)

^d DUKE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039066446     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.24.2.102     Document Type: Article

References (15)

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2. Bekaert, Geert, Claude B. Erb, Campbell R. Harvey, and Tadas Viskanta. "The Behavior of Emerging Market Returns." In Edward Altman, Richard Levich, and Jianping Mei, eds., The Future of Emerging Market Capital Flows. Kluwer, 1997.
3. Bekaert, Geert, and Campbell R. Harvey. "Emerging Equity Market Volatility." Journal of Financial Economics, 43, 1 (January 1997a), pp. 29-78.
4. _. "Foreign Speculators and Emerging Equity Markets." Working paper, Stanford University and Duke University, 1997b.
5. _. "Time-Varying World Market Integration." Journal of Finance, 50 (1995), pp. 403-444.
6. Bekaert, Geert, Campbell R. Harvey, and Robin L. Lumsdaine. "Dating the Integration of World Capital Markets." Working paper, Stanford University and Duke University, 1997.
7. Diamonte, Robin, John M. Liew, and Ross L. Stevens. "Political Risk in Emerging and Developed Markets." Financial Analysts Journal, 52 (May/June 1996), pp. 71-76.
8. Erb, Claude B., Campbell R. Harvey, and Tadas E. Viskanta. "Demographics and International Investment." Financial Analysts Journal, 53 (July/August 1997), pp. 14-27.
9. _. "Political Risk, Economic Risk and Financial Risk." Financial Analysts Journal, Vol. 52, 6 (November/December 1996), pp. 28-46. Also see http://www.duke.edu/∼charvey/Country_risk/couindex.htm.
10. Errunza, Vihang R. "Research on Emerging Markets: Past, Present and Future." Emerging Markets Quarterly, Fall 1997, pp. 5-18.
11. Harlow, W. Van. "Political Risk and Asset Markets." Fidelity Investments, Boston, 1993.
12. Harvey, C.R. "Predictable Risk and Returns in Emerging Markets." Review of Financial Studies, 8 (1995), pp. 773-816.
13. Harvey, C.R., and A. Siddique. "Conditional Skewness in Asset Pricing Tests." Working paper, Fuqua School of Business, Duke University, 1997.
14. Kraus, A., and R. Litzenberger. "Skewness Preference and the Valuation of Risky Assets." Journal of Finance, 31 (1976), pp. 1085-1100.
15. Markowitz, H. Portfolio Selection. New York: John Wiley & Sons, 1959.