Enhanced Emerging Market Stock Selection
Emerging stock markets provide substantial opportunities for investors. The existing literature shows inconsistency in factor selection and model development in this area. This research exploits a cutting edge quantitative technique-genetic programming, to greatly enhance factor selection and explore nonlinear factor combination. The model developed using the genetic programming process is proven to be powerful, intuitive, robust and consistent.
Key wordsgenetic programming emerging market stock selection
Unable to display preview. Download preview PDF.
- Achour, D., C. Harvey, G. Hopkins, and C. Lang. (1998a). Stock Selection in Emerging Markets: Portfolio Strategies for Malaysia, Mexico, and South Africa.Emerging Markets Quarterly, 38–91. Google Scholar
- Achour, D., C. Harvey, G. Hopkins, and C. Lang. (1998b). Firm Characteristics and Investment Strategies in Africa: The Case of South Africa. Working Paper.Google Scholar
- Apoteker, T., and S. Barthelemy. (2000). Genetic Algorithms and Financial Crises in Emerging Markets. Working Paper.Google Scholar
- Claessens, S., Dasgupta, S., and J. Glen. (1998). The Cross-Section of Stock Returns: Evidence from the Emerging Markets. Emerging Markets Quarterly, 4–13.Google Scholar
- Connor, G., and S. Sehgal. (2001). Tests of the Fama and French Model in India. Working paper.Google Scholar
- Harvey, C. (1994). “Portfolio Enhancement Using Emerging Markets and Conditioning Information. ” Portfolio Investment in Developing Countries.Google Scholar
- Holland, J. (1975). Adaptation in Natural and Artificial Systems. Ann Arbor: University of Michigan Press.Google Scholar
- Rouwenhorst, K. (1999). Local Return Factors and Turnover in Emerging Stock Markets. Yale University Working Paper.Google Scholar
- Serra, A. (2000). The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets’ Stocks. Working paper.Google Scholar
- Wright, J. (1999). Long Memory in Emerging Market Stock Returns. Federal Reserve Board of Governors International Finance Discussion Papers; no. 650.Google Scholar