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ID:454617
大小:62.50 KB
页数:9页
时间:2017-08-04
《价值投资在新兴市场的风险和收益【外文翻译】》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、外文翻译原文Valueinvestinginemergingmarkets:risksandbenefitsMaterialSource:ElsevierScienceAuthor:VladislavKargin1.IntroductionEmergingstockmarketswereextremelyvolatileattheendofthe1990s,andbroughtonlymoderatereturns.Thedevelopedcountriesseemtohavesystematicallyhigherreturnsandlo
2、wervolatilities,dominatingemergingmarketsasaninvestmentdevice.Forexample,theannualizedgrossreturnontheMorganStanleyEmergingMarketsIndexfortheperiodfromAugust1991untilAugust2001waslessthan2.5%,withanannualizedstandarddeviationofmonthlyreturnsequalto10%,whiletheannualizedgro
3、ssreturnontheMorganStanleyDevelopedMarketsIndexwas9.8%,withamuchlowerstandarddeviationof5.7%.Smallreturnscouldbeacceptableprovidedthecorrelationofemergingmarketswiththerestoftheportfolioisalsosmall.Unfortunately,thisdoesnotseemtobethecase.SimpleunconditionalCAPMimpliesexpe
4、cted12%returnforemergingmarkets,whilethehistoricalreturnontheMSEmergingMarketsIndexissignificantlylower.Theseobservationsawakeasuspicionthatinvestmentinemergingmarketsisanotioseundertaking.Animportantquestion,thus,iswhethertheexpectedreturnsinatleastsomeofthemarketsaresuff
5、icienttoovercometheirrisks?Thispaperidentifiesasubsetofemergingmarketsthatprovideshigherexpectedreturnsandstudiestheirriskproperties.Theintuitionisthatsomeemergingmarketsappeartoberiskyandareundervaluedwhiletheirobjectivestatisticalmeasuresofriskarecomparabletotherestofthe
6、market.Thus,thesemarketsarebetterinvestmenttargetsthananaverageemergingmarket.Ideterminethechoiceofthemarketsbyavaluationmodelandassessitsqualitybyinvestmentsimulations.Thereturnsfoundinevaluationsaresignificantlyhigherthanboththereturnsonrandominvestmentsandthereturnsonbe
7、nchmarkindices.Thesimulationsalsoshowthatmorecomplicatedmethodsofreturnpredictiondonotimproveperformanceininvestmentsimulations.Usingcountry-specificmodelsisalsofoundproblematic.Alikelyexplanationforthefailureofcomplexandcountry-specificmodelsisthesmalltimespanoftheavailab
8、ledata.Comparedtodevelopedmarkets,emergingmarketshavehighertransactioncostsandrisks.Iquan
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