Distributinal Characteristics of Emerging Market Returns and Asset Allocation

By Tadas ViskantaCluade Erb
1997| Working Paper No. 1448

The behavior of emerging market returns sharply differs from the behavior of developed equity market returns. Whereas forecasts of expected returns and volatilities in emerging markets have been extensively studied, we focus primarily on skewness and kurtosis. We examine whether these moments have changed over time and what drives their cross-sectional variation. Finally, we detail the implicatons for asset allocation.