| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20769 |
| 来源ID | Working Paper 20769 |
| The Risky Capital of Emerging Markets | |
| Joel M. David; Espen Henriksen; Ina Simonovska | |
| 发表日期 | 2014-12-22 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We use macroeconomic data to build a panel of international capital returns over a long horizon across both developed and developing countries. We document two facts: poor and emerging markets exhibit (1) high average returns to capital and (2) high betas on US returns. We quantitatively explore whether consumption-based risk faced by a US investor can reconcile these patterns. Long-run risks lead to return disparities at least 55% as large as those in the data. Fact (2), although not a sufficient statistic, is informative about the extent of long-run risk in foreign capital, and so about fact (1). |
| 主题 | Macroeconomics ; Consumption and Investment ; International Economics ; International Factor Mobility ; Financial Economics ; Portfolio Selection and Asset Pricing ; Development and Growth ; Growth and Productivity |
| URL | https://www.nber.org/papers/w20769 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578444 |
| 推荐引用方式 GB/T 7714 | Joel M. David,Espen Henriksen,Ina Simonovska. The Risky Capital of Emerging Markets. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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