Journal of Finance, Volume 71,Issue 5,October 2016,Pages 2145-2192

为何投资新兴市场？不对称条件收益的作用

作者：Eric Chysels (University of North Carolina), Alberto Plazzi (Università della Svizzera Italiana), Rossen Valkanov (University of California)

摘要：我们提出了一种基于分位数的条件偏度测度方法，该方法对于测量新兴市场收益尤为适用。随着时间的推移，国际股票市场收益的偏度在不同的国家也存在较为明显的不同，且该特征所持续的时间较长。在新兴市场中，偏度大多为正且具有特质性，同时偏度与国家金融、贸易的开放程度和国际收支具有显著相关关系。在国际投资组合中，收益的不对称性会产生一个可观的确定性等价的价值增加，并且使新兴国家的占比提高约30%。对于新兴国家投资（所产生的收益）具有上涨而非下跌的期望，这与最近的理论相一致。

Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry

Eric Chysels (University of North Carolina), Alberto Plazzi (Università della Svizzera Italiana), Rossen Valkanov (University of California)

ABSTRACT

We propose a quantile-based measure of conditional skewness, particularly suitable for handling recalcitrant emerging market (EM) returns. The skewness of international stock market returns varies significantly across countries over time, and persists at long horizons. In EMs, skewness is mostly positive and idiosyncratic, and significantly relates to a country's financial and trade openness and balance of payments. In an international portfolio setting, return asymmetry leads to sizeable certainty-equivalent gains and increases the weight on emerging countries to about 30%. Investing in EMs seems to be about expectations of a higher upside than downside, consistent with recent theories.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/jofi.12420/full

翻译：秦秀婷