We are the first to investigate the cross-section of stock returns in the new emerging equity markets, the so-called frontier emerging markets. Our unique survivorship-bias free data set consists of more than 1,400 stocks over the period 1997 to 2008 and covers 24 of the most liquid frontier...

We examine the risk and return characteristics of fundamental weighting schemes for developed, emerging, and frontier government bond markets; and compare these to market capitalization weighted indexes. We document positive excess returns for the investment grade sample only when currency risks...