On the predictability of emerging market sovereign credit spreads
Sign Up to like & getrecommendations! Published in 2018 at "Journal of International Money and Finance"
DOI: 10.1016/j.jimonfin.2018.07.005
Abstract: This paper examines the quarter-ahead out-of-sample predictability of Brazil, Mexico, the Philippines and Turkey credit spreads before and after the Lehman Brothers’ default. A model based on the country-specific credit spread curve factors predicts no… read more here.
Keywords: credit; predictability emerging; emerging market; credit spreads ... See more keywords
Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?
Sign Up to like & getrecommendations! Published in 2017 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2017.04.057
Abstract: This study aims to examine return predictability in 24 emerging markets disaggregated in different regions. We propose four specifications, including a benchmark model. Then, an augmented model appropriate for each country, including a large set… read more here.
Keywords: predictability; predictability emerging; model; emerging markets ... See more keywords