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Determinants of cross-sectional stock return variations in emerging markets

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  • Ye Bai

    ()

  • Christopher Green

    ()

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 41 (2011)
Issue (Month): 1 (August)
Pages: 81-102

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Handle: RePEc:spr:empeco:v:41:y:2011:i:1:p:81-102

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Related research

Keywords: Cross-sectional stock return variation; Country effects; Industry effects; Emerging markets; Financial development; Legal system; E44; G12; G15; G21; K22; K40;

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References

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  9. Chui, Andy C. W. & Wei, K. C. John, 1998. "Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 275-293, August.
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  13. Rafael La Porta & Florencio Lopez-de-Silanes & Andrei Shleifer & Robert W. Vishny, 1998. "Law and Finance," Journal of Political Economy, University of Chicago Press, vol. 106(6), pages 1113-1155, December.
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  18. Cobham, David & Cosci, Stefania & Mattesini, Fabrizio, 1999. "The Italian Financial System: Neither Bank Based nor Market Based," Manchester School, University of Manchester, vol. 67(3), pages 325-45, June.
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  28. Campa, Jose Manuel & Fernandes, Nuno, 2006. "Sources of gains from international portfolio diversification," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 417-443, October.
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  34. Heston, Steven L. & Rouwenhorst, K. Geert, 1994. "Does industrial structure explain the benefits of international diversification?," Journal of Financial Economics, Elsevier, vol. 36(1), pages 3-27, August.
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