The Experts below are selected from a list of 261 Experts worldwide ranked by ideXlab platform
Adam Zaremba - One of the best experts on this subject based on the ideXlab platform.
-
Is there an illiquidity premium in Frontier Markets
Emerging Markets Review, 2020Co-Authors: Szymon Stereńczak, Adam Zaremba, Zaghum UmarAbstract:Abstract We perform a comprehensive examination of the role of stock-level liquidity in the cross-section of Frontier Market stock returns. Using several popular liquidity measures and a battery of asset pricing tests, we investigate the illiquidity premium in 22 countries for the years 1991–2019. Contrary to typical relationships in developed and emerging Markets, we find no evidence of illiquidity premium in Frontier equities. Our findings support the hypothesis that for countries not fully integrated with the global economy, the diversification benefits offset the illiquidity, which, in turn, proves less important.
-
Performance Persistence in Anomaly Returns: Evidence from Frontier Markets
Emerging Markets Finance and Trade, 2019Co-Authors: Adam ZarembaAbstract:This study aims to explore the performance persistence of Frontier Market equity anomalies. To this end, I replicate 140 anomalies in the cross-section of returns in a sample of 23 Frontier Markets...
-
Performance Persistence in Anomaly Returns: Evidence from Frontier Markets
SSRN Electronic Journal, 2017Co-Authors: Adam ZarembaAbstract:This study aims to explore the performance persistence of Frontier Market equity anomalies. To this end, I replicate 140 anomalies in the cross-section of returns in a sample of 23 Frontier Markets. I demonstrate a robust and strong performance persistence in the anomaly returns. The return persistence is driven by two independent components related to past short- and long-term returns. These components reflect short-term momentum and cross-sectional variation in long-term anomaly returns, respectively. Combining the two components forms an efficient anomaly selection strategy.
Nuttawat Visaltanachoti - One of the best experts on this subject based on the ideXlab platform.
-
Frontier Market transaction costs and diversification
Journal of Financial Markets, 2015Co-Authors: Ben R. Marshall, Nhut H. Nguyen, Nuttawat VisaltanachotiAbstract:Abstract Frontier Markets, sometimes referred to as “emerging emerging Markets,” have high transaction costs so investors who rebalance their portfolios monthly do not receive diversification benefits. Rebalancing every three months or longer, however, leads to diversification gains. Diversification benefits are larger in time periods with lower transaction costs and this is linked to risk aversion. Higher risk aversion results in larger transaction costs and larger return correlations between the United States and Frontier Markets. There is no cross-country relation between diversification benefits and transaction costs or development. Our results are based on comprehensive measures of transaction costs for 19 Frontier Markets.
-
Frontier Market Transaction Costs and Diversfication
SSRN Electronic Journal, 2011Co-Authors: Ben R. Marshall, Nhut H. Nguyen, Nuttawat VisaltanachotiAbstract:Frontier Markets, sometimes referred to as “emerging emerging Markets,” have high transaction costs so investors who rebalance their portfolios monthly do not receive diversification benefits. However, diversification gains can be achieved by investors rebalancing every three months or longer. The diversification benefits we document are based on comprehensive measures of transaction costs using tick data for 19 Frontier Markets that are readily accessible to foreign investors. Our results cover the 2002-2010 period and apply to investors who add Frontier Market exposure to U.S. portfolios and portfolios with U.S. and emerging Market exposure.
Ben R. Marshall - One of the best experts on this subject based on the ideXlab platform.
-
Frontier Market transaction costs and diversification
Journal of Financial Markets, 2015Co-Authors: Ben R. Marshall, Nhut H. Nguyen, Nuttawat VisaltanachotiAbstract:Abstract Frontier Markets, sometimes referred to as “emerging emerging Markets,” have high transaction costs so investors who rebalance their portfolios monthly do not receive diversification benefits. Rebalancing every three months or longer, however, leads to diversification gains. Diversification benefits are larger in time periods with lower transaction costs and this is linked to risk aversion. Higher risk aversion results in larger transaction costs and larger return correlations between the United States and Frontier Markets. There is no cross-country relation between diversification benefits and transaction costs or development. Our results are based on comprehensive measures of transaction costs for 19 Frontier Markets.
-
Frontier Market Transaction Costs and Diversfication
SSRN Electronic Journal, 2011Co-Authors: Ben R. Marshall, Nhut H. Nguyen, Nuttawat VisaltanachotiAbstract:Frontier Markets, sometimes referred to as “emerging emerging Markets,” have high transaction costs so investors who rebalance their portfolios monthly do not receive diversification benefits. However, diversification gains can be achieved by investors rebalancing every three months or longer. The diversification benefits we document are based on comprehensive measures of transaction costs using tick data for 19 Frontier Markets that are readily accessible to foreign investors. Our results cover the 2002-2010 period and apply to investors who add Frontier Market exposure to U.S. portfolios and portfolios with U.S. and emerging Market exposure.
J. Jimmy Yang - One of the best experts on this subject based on the ideXlab platform.
-
Is the Diversification Benefit of Frontier Markets Realizable by Mean-Variance Investors? The Evidence of Investable Funds
The Journal of Portfolio Management, 2013Co-Authors: Dave Berger, Kuntara Pukthuanthong, J. Jimmy YangAbstract:The authors investigate whether the diversification benefits of Frontier Markets are realizable. They focus on investable Frontier exchange-traded funds (ETFs) and their corresponding indices. Their analysis ncludes directly measuring the economic benefits of Frontier-Market diversification, as well as considering Frontier-Market trading dynamics. Evidence indicates that Frontier Markets offer diversification benefits through risk-reducing potential. The authors find that Frontier Market volatility tends to be largely idiosyncratic, which supports the risk-reducing role of Frontier Markets. Their comparison of funds and indices indicates that, to the extent that Frontier-Market indices offer hypothetical benefits, traders can obtain these benefits by using investable funds.
-
Is the Diversification Benefit of Frontier Markets Realizable by Mean-Variance Investors? The Evidence of Investable Funds
SSRN Electronic Journal, 2012Co-Authors: Dave Berger, Kuntara Pukthuanthong, J. Jimmy YangAbstract:We investigate whether the diversification benefits of Frontier Markets may be realized by mean-variance investors. In contrast to other studies, we focus on a set of investable Frontier exchange-traded funds (ETFs) and mutual funds. Our analysis includes direct measurement of the economic benefits of Frontier Market diversification, as well as consideration of Frontier Market trading dynamics. We find that Frontier Market investing improves portfolio risk-return properties, that Frontier funds offer diversification benefits in a mean-variance context, and that Frontier fund volatility is driven by idiosyncratic factors. We also provide empirical evidence covering the most extensive set of 32 Frontier Markets that are in line with expanded Frontier Market classifications.
-
International diversification with Frontier Markets
Journal of Financial Economics, 2011Co-Authors: Dave Berger, Kuntara Pukthuanthong, J. Jimmy YangAbstract:Abstract We provide an analysis of Frontier Market equities with respect to world Market integration and diversification. Principal component results reveal that Frontier Markets exhibit low levels of integration. In contrast with developed and emerging Markets, Frontier Markets offer no indication of increasing integration through time. Furthermore, individual Frontier Market countries do not exhibit consistent rates of changing integration. Structural break tests identify breakpoints in integration, as well as integration dynamics across countries. We show that Frontier Markets have low integration with the world Market and thereby offer significant diversification benefits.
Andrew Clark - One of the best experts on this subject based on the ideXlab platform.
-
Revamping Liquidity Measures: Improving Investability in Emerging and Frontier Market Indices and Their Related ETFs
The Journal of Index Investing, 2011Co-Authors: Andrew ClarkAbstract:This article presents a new way of measuring stock liquidity. Recent research has demonstrated that measures based on volume, transaction, and turnover do not on their own measure liquidity, so the author introduces a method that uses price and bid–ask spread (not dollar volume, transactions, or turnover) as the primary inputs and extreme value theory to build the measure. The author demonstrates the method’s value by its ability to successfully identify liquid stocks in emerging and Frontier Markets better than measures of liquidity based on volume, transaction, or turnover.
-
Revamping Liquidity Measures: Improving Investability in Emerging and Frontier Market Indices and Their Related ETFs
SSRN Electronic Journal, 2011Co-Authors: Andrew ClarkAbstract:In this article we present a new way of measuring stock liquidity. The method uses price and bid-ask spread (not dollar volume, transactions or turnover) as the primary inputs and Extreme Value Theory to build the measure. We demonstrate its value by its ability to identify successfully liquid stocks in emerging and Frontier Markets better than volume, transaction and turnover based measures of liquidity. We offer this new measure because recent research has demonstrated that volume, transaction and turnover based measures do not on their own measure liquidity.