TY - BOOK ID - 84540205 TI - Institutional Investors and Asset Pricing in Emerging Markets PY - 1996 SN - 1462371302 1455266582 1281096008 9786613776228 1455253359 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Finance: General KW - Financial Risk Management KW - Investments: Stocks KW - Macroeconomics KW - General Financial Markets: General (includes Measurement and Data) KW - Pension Funds KW - Non-bank Financial Institutions KW - Financial Instruments KW - Institutional Investors KW - Price Level KW - Inflation KW - Deflation KW - International Financial Markets KW - Portfolio Choice KW - Investment Decisions KW - Finance KW - Investment & securities KW - Stock markets KW - Emerging and frontier financial markets KW - Stocks KW - Asset prices KW - Asset allocation KW - Financial markets KW - Financial institutions KW - Prices KW - Asset and liability management KW - Stock exchanges KW - Financial services industry KW - Asset-liability management KW - Taiwan Province of China UR - https://www.unicat.be/uniCat?func=search&query=sysid:84540205 AB - This paper presents a new theory of asset pricing intended to address why other developing country equity markets responded so strongly to the Mexican devaluation, while the world’s major stock markets were unmoved. This phenomenon can be explained if investors follow a two-step portfolio allocation process, first determining what share of their portfolio to invest in developing countries, then allocating those funds across the emerging markets. For 12 of 13 markets studied, the one-factor CAPM is rejected in favor of a two-factor asset pricing model, including both a broad emerging markets portfolio and the global market portfolio. ER -