Studies of Equity Returns in Emerging Markets: A Literature Review

ABSTRACT

We review the literature on empirical asset pricing in emerging markets. This literature is quite diverse and almost thirty years old. To make this task manageable, we focus on equity markets, limit the topics to return predictability and volatility modeling, and restrict the review to the set of top journals in finance and journals that specialize in emerging markets.

KEY WORDS:

• emerging markets
• equity returns
• predictability
• volatility of equity returns

Notes

1. Emerging Markets Review has been indexed by Web of Science since 2009. Therefore, any publications in this journal prior to that year are considered out of scope.