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The impact of exchange rate risk on international asset pricing under various market structures

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Author Info
Sema Bayraktar ()
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File URL: http://hdl.handle.net/10.1007/s11156-008-0089-4
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Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

Volume (Year): 32 (2009)
Issue (Month): 2 (February)
Pages: 169-195
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Handle: RePEc:kap:rqfnac:v:32:y:2009:i:2:p:169-195

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Web page: http://springerlink.metapress.com/link.asp?id=102990

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Related research
Keywords: Market integration/segmentation; Exchange rate risk; Asset pricing; F36; F31; G12;

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References listed on IDEAS
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  1. Grauer, Frederick L. A. & Litzenberger, Robert H. & Stehle, Richard E., 1976. "Sharing rules and equilibrium in an international capital market under uncertainty," Journal of Financial Economics, Elsevier, vol. 3(3), pages 233-256, June. [Downloadable!] (restricted)
  2. Eun, Cheol S & Janakiramanan, S, 1986. " A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership," Journal of Finance, American Finance Association, vol. 41(4), pages 897-914, September. [Downloadable!] (restricted)
  3. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 8(3), pages 773-816. [Downloadable!] (restricted)
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  4. Zapatero, Fernando, 1995. "Equilibrium asset prices and exchange rates," Journal of Economic Dynamics and Control, Elsevier, vol. 19(4), pages 787-811, May. [Downloadable!] (restricted)
  5. Carrieri, Francesca & Errunza, Vihang & Majerbi, Basma, 2006. "Does Emerging Market Exchange Risk Affect Global Equity Prices?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 41(03), pages 511-540, September. [Downloadable!]
  6. Dumas, Bernard & Solnik, Bruno, 1995. " The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-79, June. [Downloadable!] (restricted)
  7. Stulz, Rene M, 1981. "On the Effects of Barriers to International Investment," Journal of Finance, American Finance Association, vol. 36(4), pages 923-34, September. [Downloadable!] (restricted)
  8. Chaieb, Ines & Errunza, Vihang, 2007. "International asset pricing under segmentation and PPP deviations," Journal of Financial Economics, Elsevier, vol. 86(2), pages 543-578, November. [Downloadable!] (restricted)
  9. Grilli, Vittorio & Roubini, Nouriel, 1992. "Liquidity and exchange rates," Journal of International Economics, Elsevier, vol. 32(3-4), pages 339-352, May. [Downloadable!] (restricted)
  10. Adler, Michael & Dumas, Bernard, 1983. " International Portfolio Choice and Corporation Finance: A Synthesis," Journal of Finance, American Finance Association, vol. 38(3), pages 925-84, June. [Downloadable!] (restricted)
  11. Errunza, Vihang & Losq, Etienne, 1985. " International Asset Pricing under Mild Segmentation: Theory and Test," Journal of Finance, American Finance Association, vol. 40(1), pages 105-24, March. [Downloadable!] (restricted)
  12. Sellin, Peter & Werner, Ingrid M., 1993. "International investment barriers in general equilibrium," Journal of International Economics, Elsevier, vol. 34(1-2), pages 137-151, February. [Downloadable!] (restricted)
  13. Ferson, Wayne E & Harvey, Campbell R, 1993. "The Risk and Predictability of International Equity Returns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 6(3), pages 527-66. [Downloadable!] (restricted)
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