Nothing Special   »   [go: up one dir, main page]
create a website
International Diversification with Factor Funds. (2010). Eun, Cheol S. ; Zhang, Zhe ; Lai, Sandy ; de Roon, Frans A..
In: Management Science.
RePEc:inm:ormnsc:v:56:y:2010:i:9:p:1500-1518.

Full description at Econpapers || Download paper

Cited: 22

Citations received by this document

Cites: 51

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. International crash risk premium. (2024). Chen, Steven Shu-Hsiu.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000805.

    Full description at Econpapers || Download paper

  2. Fama–French–Carhart Factor-Based Premiums in the US REIT Market: A Risk Based Explanation, and the Impact of Financial Distress and Liquidity Crisis from 2001 to 2020. (2023). Giouvris, Evangelos ; Essa, Mohammad Sharik.
    In: IJFS.
    RePEc:gam:jijfss:v:11:y:2023:i:1:p:12-:d:1024581.

    Full description at Econpapers || Download paper

  3. Dual role of the country factors in international asset pricing: The local factors and proxies for the global factors. (2023). Wei, Fengrong ; Lee, Kyuseok ; Eun, Cheol.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002764.

    Full description at Econpapers || Download paper

  4. The diversification benefits and policy risks of accessing China’s stock market. (2022). Zhang, Chang ; Wang, Sarah Qian ; Tang, Dragon Yongjun ; Shan, Chenyu.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:66:y:2022:i:c:p:155-175.

    Full description at Econpapers || Download paper

  5. Factors and risk premia in individual international stock returns. (2021). Scaillet, Olivier ; Chaieb, Ines ; Langlois, Hugues.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:141:y:2021:i:2:p:669-692.

    Full description at Econpapers || Download paper

  6. From dotcom to Covid-19: A convergence analysis of Islamic investments. (2021). Kenourgios, Dimitris ; Petropoulou, Athina ; Pappas, Vasileios ; Alexakis, Christos.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001372.

    Full description at Econpapers || Download paper

  7. When it rains, it pours: Multifactor asset management in good and bad times. (2021). Szafarz, Ariane ; Briere, Marie.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:44:y:2021:i:3:p:641-669.

    Full description at Econpapers || Download paper

  8. .

    Full description at Econpapers || Download paper

  9. Common risk factors in international stock markets. (2019). Schrimpf, Andreas ; von Arx, Urs ; Schmidt, Peter S ; Ziegler, Andreas ; Wagner, Alexander F.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:33:y:2019:i:3:d:10.1007_s11408-019-00334-3.

    Full description at Econpapers || Download paper

  10. An Examination of the Benefits of Factor Investing in U.K. Stock Returns. (2018). Fletcher, Jonathan.
    In: International Journal of Economics and Finance.
    RePEc:ibn:ijefaa:v:10:y:2018:i:4:p:154-170.

    Full description at Econpapers || Download paper

  11. All about fun(ds) in emerging markets? The case of equity mutual funds. (2017). Wagner, Moritz ; Margaritis, Dimitris.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:33:y:2017:i:c:p:62-78.

    Full description at Econpapers || Download paper

  12. Frontier market transaction costs and diversification. (2015). Visaltanachoti, Nuttawat ; Marshall, Ben ; Nguyen, Nhut H..
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:24:y:2015:i:c:p:1-24.

    Full description at Econpapers || Download paper

  13. Do Mutual Funds Outperform During Recessions? International (Counter-) Evidence. (2014). Fink, Christopher ; Raatz, Katharina ; Weigert, Florian.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2014:15.

    Full description at Econpapers || Download paper

  14. Global portfolio management under state dependent multiple risk premia. (2014). Angelidis, Timotheos ; Tessaromatis, Nikolaos.
    In: Proceedings of Economics and Finance Conferences.
    RePEc:sek:iefpro:0400966.

    Full description at Econpapers || Download paper

  15. International Diversification Benefits with Foreign Exchange Investment Styles. (2014). Schrimpf, Andreas ; Kroencke, Tim ; Schindler, Felix.
    In: Review of Finance.
    RePEc:oup:revfin:v:18:y:2014:i:5:p:1847-1883..

    Full description at Econpapers || Download paper

  16. International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches. (2014). Wong, Wing-Keung ; Leung, Pui Lam ; Mroua, Mourad ; Abid, Fathi.
    In: JRFM.
    RePEc:gam:jjrfmx:v:7:y:2014:i:2:p:45-66:d:35901.

    Full description at Econpapers || Download paper

  17. International equity flows, marginal conditional stochastic dominance and diversification. (2013). Clark, Ephraim ; Kassimatis, Konstantinos .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:40:y:2013:i:2:p:251-271.

    Full description at Econpapers || Download paper

  18. Real effects of stock underpricing. (2013). Hau, Harald ; Lai, Sandy .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:108:y:2013:i:2:p:392-408.

    Full description at Econpapers || Download paper

  19. Asset Allocation and Monetary Policy: Evidence from the Eurozone. (2013). Hau, Harald ; Lai, Sandy .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9581.

    Full description at Econpapers || Download paper

  20. International diversification with securitized real estate and the veiling glare from currency risk. (2012). Schindler, Felix ; Kroencke, Tim.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:31:y:2012:i:7:p:1851-1866.

    Full description at Econpapers || Download paper

  21. Real Effects of Stock Underpricing. (2012). Hau, Harald ; Lai, Sandy .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8820.

    Full description at Econpapers || Download paper

  22. The Role of Equity Funds in the Financial Crisis Propagation. (2012). Hau, Harald ; Lai, Sandy .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8819.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Baca S. P., Garbe B. L., Weiss R. A. The rise of sector effects in major equity markets. Financial Analysts J. (2000) 56:34-40
    Paper not yet in RePEc: Add citation now
  2. Bailey W., Kumar A., Ng D. Foreign investments of U.S. individual investors: Causes and consequences. Management Sci. (2008) 54:443-459
    Paper not yet in RePEc: Add citation now

  3. Bekaert G., Hodrick R. J., Zhang X. International stock return comovements. J. Finance (2009) 64:2591-2626

  4. Bekaert G., Urias M. S. Diversification, integration and emerging market closed-end funds. J. Finance (1996) 51:835-869

  5. Bris A., Goetzmann W. N., Zhu N. Efficiency and the bear: Short sales and markets around the world. J. Finance (2007) 62:1029-1079

  6. Brooks R., Del Negro M. Country versus region effects in international stock returns. J. Portfolio Management (2005) 31:67-72
    Paper not yet in RePEc: Add citation now

  7. Carhart M. M. On persistence in mutual fund performance. J. Finance (1997) 52:57-82

  8. Carrieri F., Errunza V., Sarkissian S. Industry risk and market integration. Management Sci. (2004) 50:207-221

  9. Cavaglia S., Brightman C., Aked M. The increasing importance of industry factors. Financial Analysts J. (2000) 56:41-54
    Paper not yet in RePEc: Add citation now

  10. Daniel K., Titman S. Evidence on the characteristics of cross-sectional variation in stock returns. J. Finance (1997) 52:1-33

  11. de Roon F. A., Nijman T. E. Testing for mean-variance spanning: A survey. J. Empirical Finance (2001) 8:111-155

  12. de Roon F. A., Nijman T. E., Werker B. J. M. Currency hedging for international stock portfolios: The usefulness of mean-variance analysis. J. Banking Finance (2003) 27:327-349

  13. de Roon F. A., Nijman T. E., Werker B. J. M. Testing for mean-variance spanning with short sales constraints and transaction costs: The case of emerging markets. J. Finance (2001) 56:721-742

  14. DeMiguel V., Garlappi L., Uppal R. Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy? Rev. Financial Stud. (2009) 22:1915-1953

  15. Eiling E., Gerard B., de Roon F. International diversification in the euro-zone: The increasing riskiness of industry portfolios. (2006) . Working paper, Tilburg University, Tilburg, The Netherlands

  16. Eun C. S., Huang W., Lai S. International diversification with large- and small-cap stocks. J. Financial Quant. Anal. (2008) 43:489-523

  17. Fama E. F., French K. R. Common risk factors in the returns on stocks and bonds. J. Financial Econom. (1993) 33:3-56

  18. Fama E. F., French K. R. Multifactor explanations of asset pricing anomalies. J. Finance (1996) 51:55-84

  19. Fama E. F., French K. R. Value versus growth: The international evidence. J. Finance (1998) 53:1975-1999

  20. Gerard B., Hillion P., de Roon F. A., Eiling E. International portfolio diversification: Currency, industry and country effects revisited. (2009) . Working paper, Tilburg University, Tilburg, The Netherlands
    Paper not yet in RePEc: Add citation now

  21. Goetzmann W., Ingersoll J., Spiegel M., Welch I. Portfolio performance manipulation and manipulation-proof performance measures. Rev. Financial Stud. (2007) 20:1503-1546

  22. Goetzmann W., Li L., Rouwenhorst K. G. Long-term global market correlations. J. Bus. (2005) 78:1-38

  23. Gourieroux C., Holly A., Monfort A. Likelihood ratio test, Wald test, and Kuhn-Tucker test in linear models with inequality constraints on the regression parameters. Econometrica (1982) 50:63-80

  24. Griffin J. M. Are the Fama and French factors global or country specific? Rev. Financial Stud. (2002) 15:783-803

  25. Griffin J. M., Ji X., Martin J. S. Momentum investing and business cycle risk: Evidence from pole to pole. J. Finance (2003) 58:2515-2547

  26. Griffin J. M., Karolyi G. A. Another look at the role of the industrial structure of markets for international diversification strategies. J. Financial Econom. (1998) 50:351-373

  27. Grubel H. G. Internationally diversified portfolios: Welfare gains and capital flows. Amer. Econom. Rev. (1968) 58:1299-1314
    Paper not yet in RePEc: Add citation now

  28. Harvey C. R. Predictable risk and returns in emerging markets. Rev. Financial Stud. (1995) 8:773-816

  29. Heston S. L., Rouwenhorst K. G. Does industrial structure explain the benefits of international diversification? J. Financial Econom. (1994) 36:3-27

  30. Hou K., Karolyi G. A., Kho B. C. What fundamental factors drive global stock returns? (2007) . Working paper, Ohio State University, Columbus
    Paper not yet in RePEc: Add citation now

  31. Huberman G., Kandel S. Mean-variance spanning. J. Finance (1987) 42:873-888

  32. Jobson J. D., Korkie B. A performance interpretation of multivariate tests of asset set intersection, spanning, and mean-variance efficiency. J. Financial Quant. Anal. (1989) 24:185-204

  33. Kan R., Zhou G. Tests of mean-variance spanning. (2008) . Working paper, Washington University in St. Louis, St. Louis
    Paper not yet in RePEc: Add citation now

  34. Kodde D. A., Palm F. C. Notes and comments: Wald criteria for jointly testing equality and inequality restrictions. Econometrica (1986) 54:1243-1248

  35. Lakonishok J., Shleifer A., Vishny R. W. Contrarian investment, extrapolation, and risk. J. Finance (1994) 49:1541-1578

  36. Lamont O. A. Economic tracking portfolios. J. Econometrics (2001) 105:161-184

  37. Levy H., Sarnat M. International diversification of investment portfolios. Amer. Econom. Rev. (1970) 60:668-675

  38. Lewellen J., Nagel S., Shanken J. A skeptical appraisal of asset pricing tests. J. Financial Econom. (2010) 96:175-194

  39. Liew J., Vassalou M. Can book-to-market, size, and momentum be risk factors that predict economic growth? J. Financial Econom. (2000) 57:221-245
    Paper not yet in RePEc: Add citation now

  40. Longin F., Solnik B. Is the correlation in international equity returns constant: 1960-1990? J. Internat. Money Finance (1995) 14:3-26

  41. Luttmer E. G. J. Asset pricing in economies with frictions. Econometrica (1996) 64:1439-1467

  42. Maxey D. Momentum funds for small investors—AQR expands its mutual-fund lineup. Wall Street Journal (2009) July 14). Eastern edition: C9
    Paper not yet in RePEc: Add citation now
  43. Maxey D. Some managers show knack for 130/30s; it's too early to judge mixed long-short funds, but a few look promising. Wall Street Journal (2007) June 6). Eastern edition: C11
    Paper not yet in RePEc: Add citation now

  44. Merton R. C. An intertemporal capital asset pricing model. Econometrica (1973) 41:867-887

  45. Petkova R. Do the Fama-French factors proxy for innovations in predictive variables? J. Finance (2006) 61:581-612

  46. Roll R. Industrial structure and the comparative behavior of international stock market indices. J. Finance (1992) 47:3-41

  47. Ross S. A. The arbitrage theory of capital asset pricing. J. Econom. Theory (1976) 13:341-360

  48. Solnik B. H. An equilibrium model of the international capital market. J. Econom. Theory (1974) 8:500-524

  49. Solnik B. H., Roulet J. Dispersion as cross-sectional correlation. Financial Analysts J. (2000) 56:54-61
    Paper not yet in RePEc: Add citation now

  50. Stulz R. M. On the effects of barriers to international investment. J. Finance (1981) 36:923-934

  51. Vassalou M. News related to future GDP growth as a risk factor in equity returns. J. Financial Econom. (2003) 68:47-73
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Comparison between Forecasted Stock Prices and Original Stock Prices in the Karachi Stock Exchange. (2015). Khan, Muhammad ; Syed, Muhammad Salman .
    In: MPRA Paper.
    RePEc:pra:mprapa:72647.

    Full description at Econpapers || Download paper

  2. Trade credit and cross-country predictable firm returns. (2015). Ramadorai, Tarun ; Albuquerque, Rui ; Watugala, Sumudu W..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:115:y:2015:i:3:p:592-613.

    Full description at Econpapers || Download paper

  3. Regional and global spillovers and diversification opportunities in the GCC equity sectors. (2015). Demirer, Riza ; Balcilar, Mehmet ; Hammoudeh, Shawkat.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:24:y:2015:i:c:p:160-187.

    Full description at Econpapers || Download paper

  4. Industry co-movements of American depository receipts: Evidences from the copula approaches. (2015). Lee, Chien-Chiang ; Chang, Chi-Hung ; Chen, Mei-Ping.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:46:y:2015:i:c:p:301-314.

    Full description at Econpapers || Download paper

  5. The change of correlation structure across industries:an analysis in the regime-switching framework. (2014). Wakai, Katsutoshi ; Shigeta, Yuki ; Egami, Masahiko.
    In: Discussion papers.
    RePEc:kue:dpaper:e-14-002.

    Full description at Econpapers || Download paper

  6. ECB Policy and Eurozone Fragility: Was De Grauwe Right?. (2014). Fuertes, Ana-Maria ; Kalotychou, Elena ; Saka, Orkun .
    In: CEPS Papers.
    RePEc:eps:cepswp:9414.

    Full description at Econpapers || Download paper

  7. Asymmetric Increasing Trends in Dependence in International Equity Markets. (2014). Okimoto, Tatsuyoshi.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2014-44.

    Full description at Econpapers || Download paper

  8. Performance of international and global equity mutual funds: Do country momentum and sector momentum matter?. (2014). Breloer, Bernhard ; Wilkens, Marco ; Scholz, Hendrik.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:43:y:2014:i:c:p:58-77.

    Full description at Econpapers || Download paper

  9. Equity market contagion during the global financial crisis: Evidence from the worlds eight largest economies. (2014). Gajurel, Dinesh ; Dungey, Mardi.
    In: Economic Systems.
    RePEc:eee:ecosys:v:38:y:2014:i:2:p:161-177.

    Full description at Econpapers || Download paper

  10. Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies. (2014). Hunter, John ; Wu, Feng.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:36:y:2014:i:c:p:557-565.

    Full description at Econpapers || Download paper

  11. The Global Crisis and Equity Market Contagion. (2014). Mehl, Arnaud ; Fratzscher, Marcel ; Ehrmann, Michael ; Bekaert, Geert.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1352.

    Full description at Econpapers || Download paper

  12. Asymmetric Increasing Trends in Dependence in International Equity Markets. (2014). Okimoto, Tatsuyoshi.
    In: AJRC Working Papers.
    RePEc:csg:ajrcwp:1405.

    Full description at Econpapers || Download paper

  13. Stock return comovements and integration within the Latin American integrated market. (2014). Castro Iragorri, Carlos ; Marin, Nini Johana .
    In: DOCUMENTOS DE TRABAJO.
    RePEc:col:000092:011082.

    Full description at Econpapers || Download paper

  14. Stock return comovements and integration within the Latin American integrated market. (2014). Castro Iragorri, Carlos ; Marin, Nini Johana .
    In: BORRADORES DE INVESTIGACIÓN.
    RePEc:col:000091:011041.

    Full description at Econpapers || Download paper

  15. Spillovers and contagion in the sovereign CDS market. (2013). Adam, Micha .
    In: Bank i Kredyt.
    RePEc:nbp:nbpbik:v:44:y:2013:i:6:p:571-604.

    Full description at Econpapers || Download paper

  16. Do investors still benefit from culturally home-biased diversification? An empirical study of China, Hong Kong, and Taiwan. (2013). Lee, Cheng Few ; Chiou, Paul.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:40:y:2013:i:2:p:341-381.

    Full description at Econpapers || Download paper

  17. International equity flows, marginal conditional stochastic dominance and diversification. (2013). Clark, Ephraim ; Kassimatis, Konstantinos .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:40:y:2013:i:2:p:251-271.

    Full description at Econpapers || Download paper

  18. Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets. (2013). Hoesli, Martin ; Reka, Kustrim .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:47:y:2013:i:1:p:1-35.

    Full description at Econpapers || Download paper

  19. The reaction of international stock markets to Federal Reserve policy. (2013). Zhu, Xiaoneng ; Wang, Jing.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:27:y:2013:i:1:p:1-30.

    Full description at Econpapers || Download paper

  20. Large global volatility shocks, equity markets and globalisation: 1885-2011. (2013). Mehl, Arnaud.
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:148.

    Full description at Econpapers || Download paper

  21. Can advanced markets help diversify risks in frontier stock markets? Evidence from Gulf Arab stock markets. (2013). Demirer, Riza.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:29:y:2013:i:c:p:77-98.

    Full description at Econpapers || Download paper

  22. The European Union, the Euro, and equity market integration. (2013). Siegel, Stephan ; Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:109:y:2013:i:3:p:583-603.

    Full description at Econpapers || Download paper

  23. Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration. (2013). Gebka, Bartosz ; Gbka, Bartosz ; Karoglou, Michail .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:9:p:3639-3653.

    Full description at Econpapers || Download paper

  24. The world price of jump and volatility risk. (2013). Driessen, Joost ; Maenhout, Pascal .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:518-536.

    Full description at Econpapers || Download paper

  25. Measuring time-varying financial market integration: An unobserved components approach. (2013). Berger, Tino ; Pozzi, Lorenzo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:463-473.

    Full description at Econpapers || Download paper

  26. Stressing correlations and volatilities — A consistent modeling approach. (2013). Becker, Christoph ; Schmidt, Wolfgang M..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:21:y:2013:i:c:p:174-194.

    Full description at Econpapers || Download paper

  27. The global effects of the euro debt crisis. (2013). Stracca, Livio.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20131573.

    Full description at Econpapers || Download paper

  28. Large global volatility shocks, equity markets and globalisation: 1885-2011. (2013). Mehl, Arnaud.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20131548.

    Full description at Econpapers || Download paper

  29. An Alternative Three-Factor Model for International Markets: Evidence from the European Monetary Union. (2012). Ammann, Manuel ; Oesch, David ; Odoni, Sandro .
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2012:02.

    Full description at Econpapers || Download paper

  30. On the cointegration of international stock indices. (2012). Fu, Richard ; Pagani, Marco.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:36:y:2012:i:2:p:463-480.

    Full description at Econpapers || Download paper

  31. Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation. (2012). Vahid, Farshid ; Choi, Pilsun ; Choe, Kwang-il ; Nam, Kiseok.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:20:y:2012:i:2:p:271-291.

    Full description at Econpapers || Download paper

  32. No contagion, only globalization and flight to quality. (2012). Szafarz, Ariane ; Brière, Marie ; Chapelle, Ariane ; Briere, Marie.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:31:y:2012:i:6:p:1729-1744.

    Full description at Econpapers || Download paper

  33. International portfolio diversification: Currency, industry and country effects revisited. (2012). Gerard, Bruno ; Hillion, Pierre ; de Roon, Frans A. ; Eiling, Esther .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:31:y:2012:i:5:p:1249-1278.

    Full description at Econpapers || Download paper

  34. Sovereign wealth fund investment and the return-to-risk performance of target firms. (2012). Mauck, Nathan ; Knill, April ; Lee, Bong Soo.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:21:y:2012:i:2:p:315-340.

    Full description at Econpapers || Download paper

  35. An alternative three-factor model for international markets: Evidence from the European Monetary Union. (2012). Ammann, Manuel ; Oesch, David ; Odoni, Sandro .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:7:p:1857-1864.

    Full description at Econpapers || Download paper

  36. The flow-performance relationship around the world. (2012). Ramos, Sofia ; Ferreira, Miguel ; Keswani, Aneel ; Miguel, Antonio F..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:6:p:1759-1780.

    Full description at Econpapers || Download paper

  37. Industry and country factors in emerging market returns: Did the Asian crisis make a difference?. (2012). Leger, Lawrence ; Green, Christopher ; Bai, YE.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:13:y:2012:i:4:p:559-580.

    Full description at Econpapers || Download paper

  38. Stocks, bonds, money markets and exchange rates: measuring international financial transmission. (2011). Rigobon, Roberto ; Fratzscher, Marcel ; Ehrmann, Michael.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:26:y:2011:i:6:p:948-974.

    Full description at Econpapers || Download paper

  39. Does Institutional Ownership Matter for International Stock Return Comovement?. (2011). Santa-Clara, Pedro ; Ferreira, Miguel ; Faias, Jose ; Matos, Pedro.
    In: EcoMod2011.
    RePEc:ekd:002625:3038.

    Full description at Econpapers || Download paper

  40. An alternative measure of the world market portfolio: Determinants, efficiency, and information content. (2011). Clark, Ephraim ; Kassimatis, Konstantinos .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:30:y:2011:i:5:p:724-748.

    Full description at Econpapers || Download paper

  41. Stock market synchronization and monetary integration. (2011). Waelti, Sébastien ; Walti, Sebastien .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:30:y:2011:i:1:p:96-110.

    Full description at Econpapers || Download paper

  42. International diversification with frontier markets. (2011). Berger, Dave ; Pukthuanthong, Kuntara ; Yang, Jimmy J..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:101:y:2011:i:1:p:227-242.

    Full description at Econpapers || Download paper

  43. Consumption-based CAPM models: International evidence. (2011). Darrat, Ali F. ; Park, Jung Chul ; Li, Bin.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:8:p:2148-2157.

    Full description at Econpapers || Download paper

  44. International fund investment and local market returns. (2011). Zheng, Huanhuan ; Wongswan, Jon ; Jinjarak, Yothin.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:3:p:572-587.

    Full description at Econpapers || Download paper

  45. The determinants of increasing equity market comovement: economic or financial integration?. (2010). Baele, Lieven ; Soriano, Pilar.
    In: Review of World Economics (Weltwirtschaftliches Archiv).
    RePEc:spr:weltar:v:146:y:2010:i:3:p:573-589.

    Full description at Econpapers || Download paper

  46. Correlation dynamics of global industry portfolios. (2010). Ferreira, Miguel ; Gama, Paulo M..
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:20:y:2010:i:1:p:35-47.

    Full description at Econpapers || Download paper

  47. Time-varying integration, interdependence and contagion. (2010). Inghelbrecht, Koen ; Baele, Lieven.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:5:p:791-818.

    Full description at Econpapers || Download paper

  48. Consumption, (dis)aggregate wealth, and asset returns. (2010). Sousa, Ricardo.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:4:p:606-622.

    Full description at Econpapers || Download paper

  49. Revisiting the excess co-movements of commodity prices in a data-rich environment. (2010). Sevi, Benoit ; le Pen, Yannick.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/6800.

    Full description at Econpapers || Download paper

  50. Transmission of shocks from cross-listed markets to the return and volatility of domestic stocks. (2009). Jithendranathan, Thadavillil ; Jaiswal-Dale, Ameeta .
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:19:y:2009:i:5:p:395-408.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-03-09 08:56:52 || 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.