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来源类型Working Paper
规范类型报告
DOI10.3386/w20769
来源IDWorking 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
URLhttps://www.nber.org/papers/w20769
来源智库National Bureau of Economic Research (United States)
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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.
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