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White Paper
Re-Emerging Equities
March 28, 2023
The expected premium for investing in emerging versus developed equity markets is on the upper end of its past 25-year range. At the same time, many of the risks historically associated with emerging markets have secularly declined. We believe there is a strong case for investors to “re-up” their emerging allocations.
White Paper
Changing Spaces Emerging Markets Investing
October 1, 2010
Over the past decade, emerging-market equities have become a meaningful portion of global equity markets. We provide some key insights to help investors evaluate their exposure.
Quick Takes
Emerging Equities
April 10, 2023
Hear our quick take on emerging equities, where we’ll cover why – and why now – investors should consider re-visiting their allocations to this asset class.
Journal Article
(Systematic) Investing in Emerging Market Debt
March 4, 2020
We extend the analysis of systematic investment approaches to emerging market (EM) fixed income. We find that systematic exposures linked to carry, defensive, momentum and valuation themes are well compensated and lowly correlated in EM markets, and that a systematic approach to EM debt may be a powerful diversifier.
Journal Article
Political Risk in Emerging and Developed Markets
May 1, 1996
The often-observed link between dramatic political events and large market moves suggests that political risk can affect stock returns.
Journal Article
Home Bias at Home: Local Equity Preference in Domestic Portfolios
January 1, 1999
The strong preference for domestic equities exhibited by investors in international markets, despite the well-documented gains from international diversification, remains an important yet unresolved empirical puzzle in financial economics. Though such behavior appears to be grossly inefficient from a diversification standpoint, academics have offered a variety of explanations for this phenomenon. Home bias explanations can be assigned to two groups: those that rely on national/governmental frictions and those that rely on frictions associated with distance.
Journal Article
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
February 1, 2003
In this paper, we construct a model for pricing sovereign debt that accounts for the risks of both default and restructuring, and allows for compensation for illiquidity.
Working Paper
Learning, Dispersion of Beliefs, and Risk Premiums in an Arbitrage-Free Term Structure Model
July 24, 2015
In this paper, researchers explore the idea that knowing how much professionals disagree about how quickly the U.S. economy is emerging from a recession may produce actionable insight into the future performance of the bond market.
White Paper
Avoiding Unintended Country Bets in Global Equity Portfolios
April 1, 2011
Country risk is a key driver of individual stock returns, especially in emerging markets. We present several approaches to constructing active global stock portfolios as failing to control for country membership in stock returns may lead to significant misallocation of risk.
Journal Article
Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves
April 2, 2013
The 2007‒2009 global financial crisis led to rapid accumulation of foreign reserves in both developed and emerging countries and triggered discussions of how these reserves should be managed.