Analysis of the validity of the Return-Chasing hypothesis

The central basis of this research work is to test the validity of Anthony Tu''s Return-chasing hypothesis within the Latin American European and Asian economies where it will be analyzed whether investors'' behavior is given under the risk/return parameter.In the analysis of the problem a descriptive study was carried out where a sample of data was taken from three Latin American stock indexes -Brazil Chile and Colombia- and then compared with three European stock markets -Germany Spain and United Kingdom- and Asian stock indexes -China Singapore and India-. The sample period starts in January 2006 and ends in December 2019; and the conditional variance in the model is assumed to follow a Garch-M model where Damodaran''s Country Risk is included as an explanatory risk variable for the mean and variance equation.the study showed that capital inflows act differently for each economy analyzed regardless of whether they are emerging as are the Latin American and Asian economies or developed as is the case of Europe.