The weak link between EM returns and growth

Focusing on macro relationship and how they can be exploited in a model, we have looked at the relationship between growth and equity returns. We have been disappointed by the fact that the link has varied significantly across countries. In places like the US and Japan, equity returns have far exceeded nominal GDP over the last 15 years. In many other countries, GDP growth have exceeded equity returns. These numbers will be impacted by the percentage of companies within a country that have global business, but there is the impression or assumption that there should generally be a positive link between GDP and returns especially in the long run. Simple data does not suggest a link and deeper analysis is necessary.