Empirical Asset Pricing on Emerging Markets

This paper investigates the returns on the emerging markets and the factors that potentially have an influence on the latter using the Bloomberg data on the BRICS nations from 30 April 2002 up to 31 December 2019 on a monthly basis. In addition, it draws parallels with several developed countries. A hybrid model with market excess return, Fama & French factors, accounting for size and value, along with firm-specific financial indicators was used for the analysis. Market return demonstrated a strong positive relationship with returns, while size effect was mostly negative, both in emerging and developed markets considered. Value factor, albeit being mostly significant, varied across countries without any notable pattern. A dependency of stocks’ returns on gross margin as a profitability parameter was not found on the chosen data. In turn, an empirical evidence of inverse relation of returns to dividend yield was obtained for each country of selection.