Chapter 9 Economic Motivation of the Ex-Dividend Day Anomaly: Evidence from an Emerging Market Environment

2012 ◽  
pp. 193-298
Author(s):  
Sarin Anantarak
Keyword(s):  
Emerging Market ◽  
Market Environment ◽  
Economic Motivation

Legal System Voids and Business-Government Ties in an Emerging Market Environment

2012 ◽  
Vol 2012 (1) ◽  
pp. 16714
Author(s):  
George O. White ◽  
Thomas A. Hemphill ◽  
Roberto Martin Nolan Galang ◽  
Anne Canabal
Keyword(s):  
Legal System ◽  
Emerging Market ◽  
Market Environment

scholarly journals The Capital Asset Pricing Model And Fama-French Three Factor Model In An Emerging Market Environment

2017 ◽  
Vol 16 (4) ◽  
pp. 231-256 ◽  
Author(s):  
Adam Karp ◽  
Gary Van Vuuren
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Emerging Market ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Market Environment ◽  
Asset Pricing Model ◽  
Three Factor

This paper tests the validity and accuracy of the Capital Asset Pricing Model and the Fama-French Three-Factor Model, by predicting the variation in excess portfolio returns on the Johannesburg Stock Exchange. Portfolios of stocks were constructed based on an adapted Fama-French (1993) approach, using a  annual sorting procedure, based on Size and Book-to-Market metrics respectively. The sample period spans six years, 2010 to 2015, and includes 46 companies listed on the JSE. The results indicate that both models perform relatively poorly because of inadequate market proxy measures, market liquidity restrictions, unpriced risk factors and volatility inherent in an emerging market environment. The Value Premium is found to explain a larger proportion of variation in excess returns than the Size Premium, and is more pronounced in portfolios with relatively higher book-to-market portfolios.

scholarly journals Characterizing Emerging Markets

2012 ◽  
Vol 3 (2) ◽  
pp. 8-22 ◽  
Author(s):  
Jaqueline Pels ◽  
Tomás Kidd
Keyword(s):  
Literature Review ◽  
Emerging Markets ◽  
Low Income ◽  
Organizational Theory ◽  
Emerging Market ◽  
High Income ◽  
Market Environment

This article looks at Emerging Markets and Low Income Sector characteristics with the scope of understanding the generalizability of the market-based approaches developed in High Income Countries. The literature review highlights that existing studies have not presented clear classifications of characterics and that current listings are partial. The article adopts and adapts the market environment theory classification and summarizes the published and documented characteristics of EM and LIS. In the process it highlights that it is necessary to distinguish between primary and secondary characteristics and that many of these characteristics overlap. Finally, it builds on the organizational theory distinction between objective and enacted environment to discuss low income sector's emerging market environments as constraints or challenges.

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