Asset pricing in developed and emerging markets:a survey

Mohamad, Azhar and Hakim, Shabir Ahmad (2016) Asset pricing in developed and emerging markets:a survey. Sains Humanika, 8 (3). pp. 47-64. ISSN 2289-6996

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Abstract

Asset pricing theory states that investors should be rewarded for the risks that are associated with the state variables, in addition to market risks, which affect their investment opportunity sets. The state variables, however, are latent variables that vary (a) within developed markets (which consist of segmented and international markets); (b) between developed and emerging markets. In this paper, we provide an evaluation of the development of asset pricing theory and an identification of factors that are pervasive and priced in both developed and emerging markets. This survey of the literature suggests there is a need for distinctive asset pricing models that consider the unique characteristics of both markets.

Item Type:	Article (Journal)
Additional Information:	3334/55105
Uncontrolled Keywords:	asset pricing; international asset pricing; developed markets; emerging markets; literature review
Subjects:	H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Economics and Management Sciences > Department of Finance
Depositing User:	Dr Azhar Mohamad
Date Deposited:	01 Feb 2017 14:16
Last Modified:	01 Feb 2017 14:21
URI:	http://irep.iium.edu.my/id/eprint/55105

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