Institutional investors and asset pricing in emerging markets
International Monetary Fund, Policy Development and Review Dept., 1996 - Institutional investments - 18 pages
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allocation by asset Arbitrage Pricing Theory Argentina Asset Pricing Model Benartzi and Thaler calculated in excess CAPM is rejected closed-end funds coefficient Colombia country equity markets country stock markets covariance developing country asset developing country equity developing country markets developing country stock dominates the CAPM emerging markets composite Emerging Markets Data equation expected returns Financial Times-Actuaries foreign and institutional FT-A World index full sample global indices holding yield IFC Emerging Markets industrial country institutional investor involvement institutional investor participation Korea Latin America loss-averse investors Malaysia market is represented market portfolio markets composite index Markets Data Base Mexican devaluation Mexico Model for 13 month to maturity monthly data p-value percent Philippines portfolio allocation Province of China Pwrw,t rejected in favor Returns are calculated returns in developing rj,t significant structural change Taiwan Province Thailand treat developing country two-factor model dominates U.S. dollars U.S. Treasury bill variance ratio Venezuela world market world portfolio