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Consumption risk and international equity returns: some empirical evidence

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Author Info
Cumby, Robert E.
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 9 (1990)
Issue (Month): 2 (June)
Pages: 182-192
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Handle: RePEc:eee:jimfin:v:9:y:1990:i:2:p:182-192

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Web page: http://www.elsevier.com/locate/inca/30443

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  1. Patricia Fraser, Andrew J. McKaig, 2001. "Basis variation and a common source of risk: evidence from UK futures markets," European Journal of Finance, Taylor and Francis Journals, vol. 7(1), pages 39-62, March. [Downloadable!] (restricted)
  2. Karen K. Lewis, 1991. "Should the Holding Period Matter for the Intertemporal Consumption-BasedCAPM?," NBER Working Papers 3583, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. K.C. Chan & G. Andrew Karolyi & Rene M. Stulz, 1992. "Global Financial Markets and the Risk Premium on U.S. Equity," NBER Working Papers 4074, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  4. Rene M. Stulz, 1994. "International Portfolio Choice and Asset Pricing: An Integrative Survey," NBER Working Papers 4645, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. THOMAS C. CHIANG & JOSÉ A. TRINIDAD, 1997. "Risk And International Parity Conditions: A Synthesis From Consumption-Based Models," International Economic Journal, Korean International Economic Association, vol. 11(2), pages 73-101, June. [Downloadable!] (restricted)
  6. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Sang W. Kim & John H. Rogers, 1995. "International stock price spillovers and market liberalization: evidence from Korea, Japan, and the United States," International Finance Discussion Papers 499, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  8. Bruno Solnik, 1991. "Finance Theory and Investment Management," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 127(III), pages 303-324, September. [Downloadable!]
  9. Hans Eijgenhuijsen, Adrian Buckley, 1999. "An overview of returns in Europe," European Journal of Finance, Taylor and Francis Journals, vol. 5(3), pages 276-297, September. [Downloadable!] (restricted)
  10. Korajczyk, Robert A., 1995. "A measure of stock market integration for developed and emerging markets," Policy Research Working Paper Series 1482, The World Bank. [Downloadable!]
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