Risk-Adjusted Performances of World Equity Indices |
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Authors: | Yigit Atilgan |
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Affiliation: | School of Management, Sabanci University, Istanbul, Turkey |
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Abstract: | This article investigates whether equity indices of twenty-four emerging and twenty-eight developed markets compensate their investors equally after adjusting for total or downside risk, and examines the predictive power of reward-to-risk ratios for expected market returns. We find that when all fifty-two markets are ranked based on their alternative reward-to-risk ratios, almost all of the countries in the top (bottom) quartile are emerging (developed) markets. The pooled means of the reward-to-risk ratios are also significantly higher for emerging markets. Both portfolio and regressions analysis reveal that there is a significantly positive relation between various reward-to-risk metrics and expected market returns. |
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Keywords: | risk-return relationship downside risk value-at-risk emerging markets 2008 financial crisis |
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