The risks of investing in emerging markets: Essay I. The role of insider ownership: An international perspective. Essay II. Conditional risk premiums of Asian real estate stocks. Essay III. The risk and return of emerging markets property stock indices

Emerging financial markets have received considerable attention from academic researchers and financial practitioners in recent years. However, further research work is necessary because emerging markets have many unique risk characteristics as a result of their early stages of market development. This dissertation intends to shed some light on the risks of investing in emerging markets.; Many emerging markets lack an effective legal system, which poses a serious challenge for minority investors: Are there any alternative mechanisms for investor protection in these markets? Essay one of my dissertation, “The Role of Insider Ownership: An International Perspective”, analyzes one such alternative for corporate governance—insider ownership. Through theoretical reasoning and empirical testing, we are able to demonstrate that in countries with poor investor protections, insider ownership often has significant and positive implications for firm valuation. Essay one tests and supports the ownership theory.; In the aftermath of the Asian Financial Crisis, many Asian practitioners and academics have tried to understand why seemingly unrelated Asian real estate market rise and fall together. Essay two, “Conditional Risk Premiums of Asian Real Estate Stocks” (co-authored with Jianping Mei), concentrates on the reasons for the downfall of Asian real estate stocks. Using a multi-factor latent variable asset pricing model, we estimate the volatility and conditional risk premiums for the real estate stocks during the 90's.; Since the Asian Financial Crisis, real estate equities in Asia have been largely ignored by global investors. Do these securities have any significant values to U.S. investors? Essay three, “The Risk and Return of Emerging Markets' Property Stock Indices” (coauthored with Jianping Mei), attempts to answer the question. We have explored many return characteristics in real estate equity indices. Through rigorous statistical analysis based on property stock indices from ten emerging markets (containing more than 80 stocks) over 5 to 25 years, we find that seven of these ten indices have underperformed the U.S. REIT index anywhere from 2% (Argentina) to 50% per year (Indonesia). However, indices for the Hong Kong, China and Turkey markets did outperform the REIT index. (Abstract shortened by UMI.)...