Emerging Stock Premia: Do Industries Matter?

This paper studies the dynamics of emerging excess returns in a industry-by-industry context. Differently from the recent financial literature, which mainly focuses on “total market indexes”, we perform a standard ex-post empirical analysis aimed at capturing the industries’ contribution to country stock performances. We obtain three key empirical findings. First, at industry level, we confirm the “high performance-high volatile nature” as well as the timevarying component of emerging excess returns. Second, at country level and in a dynamic context, we detect those industries that mainly contribute to the presence of emerging stock premia. Third, we show that some industries are much more exposed to global factors than others. We argue that these results display relevant implications for portfolio diversification and reflect consumption smoothing motive.