An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns

Moore, David

An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns

Master Thesis

2008

Publisher

University of Cape Town

Department

Department of Finance and Tax

Faculty

Faculty of Commerce

Abstract

This paper aims to expand on the growing area of asset pricing research in developed markets by extending such analyses to those nations considered to be emerging. Of late the accuracy of a previously established cornerstone of asset pricing theory, namely the Capital Asset Pricing Model (CAPM) has been questioned. The discovery of numerous firm related anomalies that have predictive power over the cross sectional variation of share returns in excess of that explained by established market proxy models has served to fuel interest and speculation as to the true robustness and exploitability of such influences. These firm specific influences have been termed 'style characteristics' . This study employed the use of the DataStream International Emerging Market Index for the extraction of all firm specific and return data. In addition to the considered 'style' characteristics this study explores the broader systematic effects associated with changes in key macroeconomic variables.

Description

Includes bibliographical references.

Reference:

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