Nothing Special   »   [go: up one dir, main page]

create a website
Emerging Stock Premia: Do Industries Matter?. (2012). Lucchetta, Marcella ; Donadelli, Michael.
In: Working Papers.
RePEc:ven:wpaper:2012_22.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 26

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. On the Dynamics of Industrial Stock Market Excess Returns. (2013). Donadelli, Michael.
    In: Working Papers CASMEF.
    RePEc:lui:casmef:1301.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ang, A., Hodrick R. J., Xing Y. and Zhang, X. (2009) “High idiosyncratic volatility and low returns: International and further U.S. Evidence” Journal of Financial Economics 91, 1-23.
    Paper not yet in RePEc: Add citation now
  2. Bekaert G. (1995). “Market Integration and Investment Barriers in Emerging Equity Markets”. World Bank Economic Review, 9, 75-107.

  3. Bekaert G. and Harvey C. R. (1995). “Time-Varying World Market Integration”. Journal of Finance, 50, 403-444.

  4. Bekaert G. and Harvey C. R. (1997). “Emerging Equity Market Volatility”. Journal of Financial Economics, 43, 29-78.

  5. Bekaert G. and Harvey C. R. (2000). “Capital Flows and the Behavior of Emerging Market Equity Returns”. NBER Chapters, in: Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, pages 159-194 National Bureau of Economic Research, Inc.

  6. Bekaert G., Claude, B. E., Harvey C. R. and Viskanta, T. E. (1998). “Distributional Characteristics of Emerging Market Returns and Asset Allocation”. Journal of Portfolio Management, Winter, 102-116.
    Paper not yet in RePEc: Add citation now
  7. Bekaert G., Harvey C. R. and Lundblad C. (2007). “Liquidity and Expected Returns: Lessons from Emerging Markets”. Review of Financial Studies, 20(6), 1783-1831.

  8. Black, F., Jensen, M. C and Scholes, M. (1972). “The Capital Asset Pricing Model: Some Empirical Tests”, in Jensen, M. (ed.), Studies in the Theory of Capital Markets, Praeger, New York.
    Paper not yet in RePEc: Add citation now
  9. Brooks R., Del Negro, M. (2002). “International stock returns and market integration: A regional perspective ”, Reserve Bank of Atlanta in its series Working Paper with number 2002-20 and IMF working paper 02/2002.

  10. Carrieri, F., Errunza, V. and Hogan, K. (2007). “Characterizing World Market Integration through Time”. Journal of Financial and Quantitative Analysis, 42(4), 915-940.

  11. Chari, A. and Henry, P. B. (2004). “Risk Sharing and Asset Prices: Evidence from a Natural Experiment”. Journal of Finance, 59(3), 1295-1324.

  12. Corsetti, G., Pericoli, M. and Sbracia, M. (2005). “Some Contagion, Some Interdependence: More Pittfalls In Tests of Financial Contagion”. Journal of International Money and Finance, 24 (8), 1177-1199.

  13. De Jong, F. and De Roon, F. A. (2005). “Time Varying Market Integration and Expected Returns in Emerging Markets”. Journal of Financial Economics, 78, 583-613.

  14. De Nicolo, G. and Juvenal, L. “Financial Integration, Globalization, and the Real Activity’, 2012. CESifo working paper n. 3737.

  15. Donadelli, M. and Prosperi, L. (2012,a). “The Equity Risk Premium: Empirical Evidence from Emerging Markets”. CASMEF Working Paper 2012/01.

  16. Donadelli, M. and Prosperi, L. (2012,b). “On the Role of Liquidity in Emerging Markets Stock Prices”. Research in Economics, forthcoming.

  17. Eiling, E, Gerard B., Hillion P. and de Roon F. A. (2012) “International Portfolio Diversification: Currency, Industry and Country Effect Revised”. Journal of International Money and Fiance n. 31, 1249-1278.
    Paper not yet in RePEc: Add citation now
  18. Estrada, J. (2000). “The cost of equity in emerging markets: A downside risk approach”. Emerging Markets Quarterly, 4, 19-30.
    Paper not yet in RePEc: Add citation now
  19. Harvey, C. R. (1991). “The World Price of Covariance Risk”. Journal of Finance, 46, 111-157.

  20. Harvey, C. R. (1995). “Predictable Risk and Returns in Emerging Markets”. Review of Financial Studies, 8, 773-816.

  21. Henry, P. (2000). “Stock Market Liberalization, Economic Reform and Emerging Market Equity Prices”. Journal of Finance, 55, 529-564.

  22. Jensen, M. C. (1968), “The Performance of Mutual Funds in the Period 1945-1964”. Journal of Finance, 23, 389-416.

  23. Mehra, R. (2012). “Consumption-Based Asset Pricing Model”. Annual Review of Financial Economics, forthcoming.

  24. Roll, R. (1992). “Industrial structure and the comparative behavior of international stock market indices“. Journal of Finance, 42, 3-41.

  25. Salomons, R. and Grootveld, H. (2003). “The Equity Risk Premium: Emerging vs. Developed Markets”. Emerging Markets Review, 4(2), 121-144.

  26. Serra, A. P. (2000). “Country and industry factors in returns: evidence from emerging markets’ stocks”. Emerging Markets Review, 1, 127-151.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?. (2013). Bhanumurthy, N R ; Ahmad, Wasim ; Sehgal, Sanjay.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:33:y:2013:i:c:p:209-225.

    Full description at Econpapers || Download paper

  2. German, US and Central and Eastern European Stock Market Integration. (2010). Kouretas, Georgios ; Syllignakis, Manolis .
    In: Open Economies Review.
    RePEc:kap:openec:v:21:y:2010:i:4:p:607-628.

    Full description at Econpapers || Download paper

  3. What Segments Equity Markets?. (2009). Siegel, Stephan ; Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14802.

    Full description at Econpapers || Download paper

  4. The accounting dimension in financial integration: International pricing under different accounting standards. (2008). López-Espinosa, Germán ; Gómez Biscarri, Javier.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0308.

    Full description at Econpapers || Download paper

  5. Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks. (2007). Karolyi, G. ; Gagnon, Louis .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-11.

    Full description at Econpapers || Download paper

  6. The risk and return characteristics of developed and emerging stock markets: the recent evidence. (2006). Kohers, Gerald .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:13:y:2006:i:11:p:737-743.

    Full description at Econpapers || Download paper

  7. Capital Structure with Risky Foreign Investment. (2006). Hines, James ; Foley, Fritz C. ; Desai, Mihir A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12276.

    Full description at Econpapers || Download paper

  8. Global asset prices and FOMC announcements. (2006). Wongswan, Jon ; Hausman, Joshua.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:886.

    Full description at Econpapers || Download paper

  9. Liquidity and Expected Returns: Lessons from Emerging Markets. (2006). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5946.

    Full description at Econpapers || Download paper

  10. Emerging Markets, Financial Openness and Financial Development. (2006). Huang, Wei.
    In: Bristol Economics Discussion Papers.
    RePEc:bri:uobdis:06/588.

    Full description at Econpapers || Download paper

  11. Do frontier equity markets exhibit common trends and still provide diversification opportunities?. (2005). Miles, William.
    In: International Economic Journal.
    RePEc:taf:intecj:v:19:y:2005:i:3:p:473-482.

    Full description at Econpapers || Download paper

  12. Free trade agreements and equity market integration: the case of the US and Jordan. (2005). Al-Zoubi, Haitham ; Al-Zuobi, Hiatham ; Maghyereh, Aktham.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:14:p:995-1005.

    Full description at Econpapers || Download paper

  13. Liquidity and Expected Returns: Lessons From Emerging Markets. (2005). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11413.

    Full description at Econpapers || Download paper

  14. Capital Controls, Sudden Stops and Current Account Reversals. (2005). Edwards, Sebastian.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11170.

    Full description at Econpapers || Download paper

  15. The Evolution of International Political Risk 1956-2001. (2005). Clark, Ephraim ; Tunaru, Radu.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:37.

    Full description at Econpapers || Download paper

  16. Supply matters for asset prices: evidence from IPOs in emerging markets. (2005). Larrain, Borja ; Braun, Matias.
    In: Working Papers.
    RePEc:fip:fedbwp:06-4.

    Full description at Econpapers || Download paper

  17. Housekeeping and plumbing - the investability of emerging markets. (2004). Ladekarl, Jeppe ; Zervos, Sara.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:3229.

    Full description at Econpapers || Download paper

  18. Global Growth Opportunities and Market Integration. (2004). Siegel, Stephan ; Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10990.

    Full description at Econpapers || Download paper

  19. Growth Volatility and Financial Liberalization. (2004). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10560.

    Full description at Econpapers || Download paper

  20. The Stock Market and Investment: Evidence from FDI Flows. (2004). Wurgler, Jeffrey ; Baker, Malcolm ; Foley, Fritz C..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10559.

    Full description at Econpapers || Download paper

  21. DETERMINANTS OF INVESTMENT FLOWS INTO EMERGING MARKETS. (2004). Carlos Andres Amaya G., ; Rowland, Peter .
    In: BORRADORES DE ECONOMIA.
    RePEc:col:000094:002334.

    Full description at Econpapers || Download paper

  22. Determinants of Investment Flows into Emerging Markets. (2004). Amaya, Carlos Andres ; Rowland, Peter .
    In: Borradores de Economia.
    RePEc:bdr:borrec:313.

    Full description at Econpapers || Download paper

  23. Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market. (2003). Islam, Anisul ; Hassan, M. Kabir ; Basher, Syed.
    In: Finance.
    RePEc:wpa:wuwpfi:0310015.

    Full description at Econpapers || Download paper

  24. World market integration through the lens of foreign direct investors. (2003). Servén, Luis ; Loayza, Norman ; Albuquerque, Rui.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:3060.

    Full description at Econpapers || Download paper

  25. Convertibility, currency controls and the cost of capital in Western Europe, 1950-1999. (2003). Voth, Hans-Joachim.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:8:y:2003:i:3:p:255-276.

    Full description at Econpapers || Download paper

  26. Are Foreign Institutional Investors Good for Emerging Markets?. (2003). Menkhoff, Lukas ; Frenkel, Michael.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-283.

    Full description at Econpapers || Download paper

  27. Equity market liberalization in emerging markets. (2003). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: Review.
    RePEc:fip:fedlrv:y:2003:i:jul:p:53-74:n:v.85no.4.

    Full description at Econpapers || Download paper

  28. Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market. (2002). Islam, Anisul ; Hassan, M. Kabir ; Basher, Syed.
    In: Working Papers.
    RePEc:yca:wpaper:2002_6.

    Full description at Econpapers || Download paper

  29. Do Spanish Stock Market Prices Follow a Random Walk?. (2002). Pérez de Gracia, Fernando ; Gómez Biscarri, Javier ; Gil-Alana, Luis.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0102.

    Full description at Econpapers || Download paper

  30. Capital Account Liberalization and Economic Performance: Survey and Synthesis. (2002). Slok, Torsten ; Ricci, Luca ; Klein, Michael ; Edison, Hali.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9100.

    Full description at Econpapers || Download paper

  31. A Simple Measure of the Intensity of Capital Controls. (2002). Warnock, Francis ; Edison, Hali.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:708.

    Full description at Econpapers || Download paper

  32. Emerging market liberalization and the impact on uncovered interest rate parity. (2002). HASAN, IFTEKHAR ; Francis, Bill ; Hunter, Delroy.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2002-16.

    Full description at Econpapers || Download paper

  33. Convertibility, currency controls and the cost of capital in Western Europe, 1950-1999. (2001). Voth, Hans-Joachim.
    In: Economics Working Papers.
    RePEc:upf:upfgen:552.

    Full description at Econpapers || Download paper

  34. Does Financial Liberalization Spur Growth?. (2001). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8245.

    Full description at Econpapers || Download paper

  35. Confidence Building in Emerging Stock Markets. (2000). Perotti, Enrico ; Laeven, Luc ; Oijen, Pieter van ; van Oijen, Pieter .
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2001-366.

    Full description at Econpapers || Download paper

  36. Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time. (2000). Madhavan, Ananth ; Domowitz, Ian ; Glen, Jack .
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2000-322.

    Full description at Econpapers || Download paper

  37. Capital Markets and Foreign Ownership Restrictions: An Empirical Analysis of Emerging Stock Markets. (2000). Anwar, Javed ; Javed, Tariq M..
    In: The Pakistan Development Review.
    RePEc:pid:journl:v:39:y:2000:i:4:p:933-950.

    Full description at Econpapers || Download paper

  38. Assessing the impact of short-sale constraints on the gains from international diversification. (1999). Wang, Zhenyu ; Li, Kai.
    In: Staff Reports.
    RePEc:fip:fednsr:89.

    Full description at Econpapers || Download paper

  39. Privatization, Political Risk and Stock Market Development. (1999). Perotti, Enrico ; Oijen, Pieter van ; van Oijen, Pieter .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2243.

    Full description at Econpapers || Download paper

  40. Volatility in Arab Stock Market. (1999). Dahel, Riad .
    In: API-Working Paper Series.
    RePEc:api:apiwps:9905.

    Full description at Econpapers || Download paper

  41. Capital Flows and the Behavior of Emerging Market Equity Returns. (1998). Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6669.

    Full description at Econpapers || Download paper

  42. Foreign Speculators and Emerging Equity Markets. (1997). Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6312.

    Full description at Econpapers || Download paper

  43. A measure of stock market integration for developed and emerging markets. (1995). Korajczyk, Robert.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:1482.

    Full description at Econpapers || Download paper

  44. Time-Varying World Market Integration. (1994). Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4843.

    Full description at Econpapers || Download paper

  45. Predictable Risk and Returns in Emerging Markets. (1994). Harvey, Campbell.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4621.

    Full description at Econpapers || Download paper

  46. The Effect of Equity Barriers on Foreign Investment in Developing Countries. (1993). Claessens, Stijn ; Rhee, Moon-Whoan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4579.

    Full description at Econpapers || Download paper

  47. Econometrics of the Effects of Stock Market Development on Growth and Private Investment in Lower Income Countries. (). Durham, J. Benson.
    In: QEH Working Papers.
    RePEc:qeh:qehwps:qehwps53.

    Full description at Econpapers || Download paper

  48. Econometrics of the Real Effects of Cross-Border Capital Flows in Emerging Markets. (). Durham, J. Benson.
    In: QEH Working Papers.
    RePEc:qeh:qehwps:qehwps52.

    Full description at Econpapers || Download paper

  49. Emerging Stock Market Liberalisation, Total Returns, and Real Effects: Some Sensitivity Analyses. (). Durham, J. Benson.
    In: QEH Working Papers.
    RePEc:qeh:qehwps:qehwps51.

    Full description at Econpapers || Download paper

  50. A Survey of the Econometric Literature on the Real Effects of International Capital Flows in Lower Income Countries. (). Durham, J. Benson.
    In: QEH Working Papers.
    RePEc:qeh:qehwps:qehwps50.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-30 03:28:33 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.