Bekaert-Harvey: Foreign Speculators and Emerging Equity Markets

Supplementary Materials

Appendix Lists

• List of ADRS and issuance dates
• List of Country Funds and issuance dates

Unpublished Tables

• Results of grid search for lambda parameter, optimal_lambda.htm
• Relationship between concentration and privatizations, priv_conc.htm
• Structural regression using dividend yields, div_struct.htm
• Returns regression with control variables, ret_control.htm
• Returns regression using different windows for indicator variables, ret_window.htm
• Relation between future GDP growth and control variables, GDP_XMGDP.htm
• Cross-sectional regression of GDP growth on trade sector, post-liberalization, GDP_XMGDP_Post.htm
• Expected economic growth and the International Country Risk Guide's Economic Rating, GDP_ICRGE.htm
• Dividend yields and the ICRGE rating, div_ICRGE.htm
• GDP growth and liberalizations GDP_lib.htm
• Volatility regressions with control variables, vol_control.htm
• Correlation regressions with control variables, corr_control.htm
• Beta regressions with control variables, beta_control.htm

Unpublished Figures

• Appendix simulation: returns, sim_returns
• Appendix simulation: dividend yields, sim_div