Submitted by Stefano Toto (stefanototo92@gmail.com) on 2015-03-24T18:06:58Z
No. of bitstreams: 1
FInal version Stefano Toto .pdf: 2666174 bytes, checksum: a92ae5ee1fd88876c05d33145bf36d74 (MD5) / Approved for entry into archive by Luana Rodrigues (luana.rodrigues@fgv.br) on 2015-03-30T13:27:41Z (GMT) No. of bitstreams: 1
FInal version Stefano Toto .pdf: 2666174 bytes, checksum: a92ae5ee1fd88876c05d33145bf36d74 (MD5) / Made available in DSpace on 2015-03-30T13:36:05Z (GMT). No. of bitstreams: 1
FInal version Stefano Toto .pdf: 2666174 bytes, checksum: a92ae5ee1fd88876c05d33145bf36d74 (MD5)
Previous issue date: 2015-02-27 / This research is to be considered as an implementation of Goetzmann and Jorion (1999). In order to provide a more realistic scenario, we have implemented a Garch (1,1) approach for the residuals of returns and a multifactor model thus to better replicate the systematic risk of a market. The new simulations reveal some new aspects of emerging markets’ expected returns: the unpredictability of the emerging markets’ returns with the global factor does not depend on the year of emergence and that the unsystematic risk explains the returns of emerging markets for a much larger period of time. The results also reveal the high impact of Exchange rate, Commodities index and of the Global factor in emerging markets’ expected return.
| Identifer | oai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/13598 |
| Date | 27 February 2015 |
| Creators | Toto, Stefano |
| Contributors | Escolas::EESP, Mergulhão, João de Mendonça |
| Source Sets | IBICT Brazilian ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Source | reponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV |
| Rights | info:eu-repo/semantics/openAccess |
Page generated in 0.0027 seconds