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|z 9781451841718
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Buckberg, Elaine.
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|a Institutional Investors and Asset Pricing in Emerging Markets /
|c Elaine Buckberg.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 1996.
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|a 1 online resource (25 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a This paper presents a new theory of asset pricing intended to address why other developing country equity markets responded so strongly to the Mexican devaluation, while the world's major stock markets were unmoved. This phenomenon can be explained if investors follow a two-step portfolio allocation process, first determining what share of their portfolio to invest in developing countries, then allocating those funds across the emerging markets. For 12 of 13 markets studied, the one-factor CAPM is rejected in favor of a two-factor asset pricing model, including both a broad emerging markets portfolio and the global market portfolio.
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 1996/002
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/1996/002/001.1996.issue-002-en.xml
|z IMF e-Library
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