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The Risky Capital of Emerging Markets / Joel M. David, Espen Henriksen, Ina Simonovska.
- Format:
- Book
- Author/Creator:
- David, Joel M.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w20769.
- NBER working paper series no. w20769
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2014.
- Summary:
- We use macroeconomic data to build a panel of international capital returns over a long horizon across both developed and developing countries. We document two facts: poor and emerging markets exhibit (1) high average returns to capital and (2) high betas on US returns. We quantitatively explore whether consumption-based risk faced by a US investor can reconcile these patterns. Long-run risks lead to return disparities at least 55% as large as those in the data. Fact (2), although not a sufficient statistic, is informative about the extent of long-run risk in foreign capital, and so about fact (1).
- Notes:
- Print version record
- December 2014.
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