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Modeling Australia's country risk: a country beta approach

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  • Gangemi, Michael A. M.
  • Brooks, Robert D.
  • Faff, Robert W.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economics and Business.

Volume (Year): 52 (2000)
Issue (Month): 3 ()
Pages: 259-276

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Handle: RePEc:eee:jebusi:v:52:y:2000:i:3:p:259-276

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Web page: http://www.elsevier.com/locate/jeconbus

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References

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  1. Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 385-415, April.
  2. Stephen Godfrey & Ramon Espinosa, 1996. "A Practical Approach To Calculating Costs Of Equity For Investments In Emerging Markets," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(3), pages 80-90.
  3. J. D. Pitchford, 1989. "Does Australia Really Have A Current Account Problem?," Economic Papers, The Economic Society of Australia, vol. 8(4), pages 25-32, December.
  4. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
  5. Mark Stewart, 1994. "Should We Concern Ourselves With Foreign Debt?," Economic Papers, The Economic Society of Australia, vol. 13(1), pages 114-121, 03.
  6. Bernard Dumas, 1994. "A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables," NBER Working Papers 4657, National Bureau of Economic Research, Inc.
  7. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis.
  8. Miller, Merton H., 1998. "The current Southeast Asia financial crisis1," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 225-233, August.
  9. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-57, March.
  10. Harvey, Campbell R. & Zhou, Guofu, 1993. "International asset pricing with alternative distributional specifications," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 107-131, June.
  11. Nicolaas Groenewold, 1997. "Share Prices and Macroeconomic Factors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(9&10), pages 1367-1383.
  12. W. Max Corden, 1991. "Does The Current Account Matter? The Old View And The New," Economic Papers, The Economic Society of Australia, vol. 10(3), pages 1-19, 09.
  13. Bodnar, Gordon M. & Gentry, William M., 1993. "Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA," Journal of International Money and Finance, Elsevier, vol. 12(1), pages 29-45, February.
  14. Craig Applegate, 1996. "Sovereign Risk And The External Cost Of Both Public And Private Sector Foreign Debt In Australia," Economic Papers, The Economic Society of Australia, vol. 15(1), pages 76-78, 03.
  15. Bernard Dumas, 1994. "A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables," NBER Chapters, in: The Internationalization of Equity Markets, pages 23-58 National Bureau of Economic Research, Inc.
  16. McQueen, Grant & Roley, V Vance, 1993. "Stock Prices, News, and Business Conditions," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 683-707.
  17. Tan, Ting-Yean, 1992. "Event Studies of Efficiency in the Australian Interest Rate Futures Market," The Economic Record, The Economic Society of Australia, vol. 0(0), pages 135-40, Supplemen.
  18. Donald R. Lessard, 1996. "Incorporating Country Risk In The Valuation Of Offshore Projects," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(3), pages 52-63.
  19. Abell, John D. & Krueger, Thomas M., 1989. "Macroeconomic influences on beta," Journal of Economics and Business, Elsevier, vol. 41(2), pages 185-193, May.
  20. Jakob De Haan & Clemens Siermann & Erna Van Lubek, 1997. "Political instability and country risk: new evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 4(11), pages 703-707.
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Cited by:
  1. Marshall, Andrew & Maulana, Tubagus & Tang, Leilei, 2009. "The estimation and determinants of emerging market country risk and the dynamic conditional correlation GARCH model," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 250-259, December.
  2. Ülkü, Numan & Baker, Saleh, 2014. "Country world betas: The link between the stock market beta and macroeconomic beta," Finance Research Letters, Elsevier, vol. 11(1), pages 36-46.
  3. Verma, Rahul & Soydemir, Gokce, 2006. "Modeling country risk in Latin America: A country beta approach," Global Finance Journal, Elsevier, vol. 17(2), pages 192-213, December.
  4. Joaquim Pinto de Andrade & Vladimir Kuhl Teles, 2004. "An Empirical Model of the Brazilian Country Risk - An Extension of the Beta Country Risk Model," Econometric Society 2004 Latin American Meetings 284, Econometric Society.
  5. Chopra, Parvesh K. & Kanji, Gopal K., 2010. "On Measuring Country Risk: A new System Modelling Approach - La misura del rischio paese: un nuovo approccio system modelling," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 63(4), pages 479-515.
  6. repec:ebl:ecbull:v:7:y:2008:i:14:p:1-12 is not listed on IDEAS
  7. Piotr Wdowinski, 2004. "Determinants of Country Beta Risk in Poland," CESifo Working Paper Series 1120, CESifo Group Munich.

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