Investment Opportunities in Central and Eastern European Equity Markets - An Econometric Examination of the Risk-Return Relationships for Western Investors -


Schröder, Michael


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URL: http://ub-madoc.bib.uni-mannheim.de/542
URN: urn:nbn:de:bsz:180-madoc-5422
Dokumenttyp: Arbeitspapier
Erscheinungsjahr: 2000
Sprache der Veröffentlichung: Englisch
Einrichtung: Sonstige Einrichtungen > Zentrum für Europ. Wirtschaftsforschung (ZEW)
MADOC-Schriftenreihe: Veröffentlichungen des ZEW (Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Fachgebiet: 330 Wirtschaft
Fachklassifikation: JEL: G12 G15 O16 ,
Normierte Schlagwörter (SWD): Europäische Wirtschaftsgemeinschaft , Investor , Investition
Abstract: This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments (GMM). Spanning tests investigate whether the returns of test assets (in our case the returns of CEE equity markets) can be mimicked by the returns of some benchmark assets. If this is possible adding the test assets to the set of the benchmark assets does not improve the mean-variance efficient frontier. In recent studies as for example DeSantis (1994), Harvey (1995) or Bekaert/Urias (1996) spanning tests have been successfully applied to emerging equity markets but these studies do not cover the emerging equity markets of Central and Eastern Europe. In addition our study addresses the diversification benefits not only for U.S. investors, as is the usual case in these empirical studies, but extends the analysis on British and German investors, too. A third feature that distinguishes our investigation from most other studies on this topic is the analysis of the effects of currency hedging on diversification benefits.
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Schröder, Michael (2000) Investment Opportunities in Central and Eastern European Equity Markets - An Econometric Examination of the Risk-Return Relationships for Western Investors -. [Arbeitspapier]
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