Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry
提出一种基于分位数的条件偏度指标，发现新兴市场收益偏度多为正且与金融开放相关，在投资组合中考虑收益不对称可将新兴市场权重提升至约30%，带来可观收益。
ABSTRACT We propose a quantile‐based measure of conditional skewness, particularly suitable for handling recalcitrant emerging market (EM) returns. The skewness of international stock market returns varies significantly across countries over time, and persists at long horizons. In EMs, skewness is mostly positive and idiosyncratic, and significantly relates to a country's financial and trade openness and balance of payments. In an international portfolio setting, return asymmetry leads to sizeable certainty‐equivalent gains and increases the weight on emerging countries to about 30%. Investing in EMs seems to be about expectations of a higher upside than downside, consistent with recent theories.