Claude Erb
First Chicago NBD Investment Management Company, Chicago, IL 60670
Campbell Harvey
Duke University, Durham, NC 27708
Tadas Viskanta
First Chicago NBD Investment Management Company, Chicago, IL 60670
ABSTRACT
We examine the role of emerging market bonds, as an asset class, in global investment portfolios. This task is complicated by the short history of data on these instruments. We explore the history of returns and examin expected returns, risk and higher moments. We find some evidence for active management in this new asset class. Country risk measures are valuable in explaining expected returns and volatilites in these markets. We argue that market participants need to evaluate and invest in emerging market bonds as a separae asset class.