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Risk-adjusted performances of world equity indices

Atılgan, Yiğit and Demirtaş, K. Özgür (2016) Risk-adjusted performances of world equity indices. Emerging Markets Finance and Trade, 52 (3). pp. 706-721. ISSN 1540-496X (Print) 1558-0938 (Online)

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Official URL: http://dx.doi.org/10.1080/1540496X.2015.1011558

Abstract

This article investigates whether equity indices of twenty-four emerging and twenty-eight developed markets compensate their investors equally after adjusting for total or downside risk, and examines the predictive power of reward-to-risk ratios for expected market returns. We find that when all fifty-two markets are ranked based on their alternative reward-to-risk ratios, almost all of the countries in the top (bottom) quartile are emerging (developed) markets. The pooled means of the reward-to-risk ratios are also significantly higher for emerging markets. Both portfolio and regressions analysis reveal that there is a significantly positive relation between various reward-to-risk metrics and expected market returns.

Item Type:Article
Uncontrolled Keywords:risk-return relationship, downside risk, value-at-risk, emerging markets, 2008 financial crisis
Subjects:H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation
ID Code:29772
Deposited By:Yiğit Atılgan
Deposited On:09 Nov 2016 11:22
Last Modified:09 Nov 2016 11:22

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