Predictable Risk and Returns in Emerging Markets
分析新兴股票市场的高预期回报和高波动性，发现其与发达市场低相关性能降低全球投资者风险，但标准资产定价模型无法解释其平均回报差异，且新兴市场回报更易受本地信息影响。
The emergence of new equity markets in Europe, Latin America, Asia, the Mideast and Africa provides a new menu of opportunities for investors.These markets exhibit high expected returns as well as high volatility.Importantly, the low correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor.However, standard global asset pricing models, which assume complete integration of capital markets, fail to explain the cross-section of average returns in emerging countries.An analysis of the predictability of the returns reveals that emerging market returns are more likely than developed countries to be influenced by local information.