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Citations for "Global Financial Markets and the Risk Premium on U.S. Equity"

by K.C. Chan & G. Andrew Karolyi & Rene M. Stulz

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  1. Yeliz Yalcin & Eray M. Yycel, 2006. "The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, Charles University Prague, Faculty of Social Sciences, vol. 56(5-6), pages 258-277, May.
  2. Ito, Akitoshi, 1999. "Profits on technical trading rules and time-varying expected returns: evidence from Pacific-Basin equity markets," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 7(3-4), pages 283-330, August.
  3. Mika Vaihekoski, 2007. "Global Market and Currency Risk in Finnish Stock Market," Finnish Economic Papers, Finnish Economic Association, vol. 20(1), pages 72-88, Spring.
  4. Geert Bekaert & Campbell R. Harvey, 2003. "Market Integration and Contagion," NBER Working Papers 9510, National Bureau of Economic Research, Inc.
  5. Campbell R. Harvey & Guofu Zhou, 1993. "International asset pricing with alternative distributional specifications," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics 277, China Economics and Management Academy, Central University of Finance and Economics.
  6. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, American Finance Association, vol. 50(2), pages 403-44, June.
  7. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings, Econometric Society 77, Econometric Society.
  8. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, Elsevier, vol. 76(3), pages 509-548, June.
  9. Bakshi, Gurdip S. & Chen, Zhiwu & Naka, Atsuyuki, 1995. "Production-based asset pricing in Japan," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 3(2-3), pages 217-240, July.
  10. Rene M. Stulz, 1999. "Globalization of Equity Markets and the Cost of Capital," NBER Working Papers 7021, National Bureau of Economic Research, Inc.
  11. Evans, Martin D. D. & Lyons, Richard K., 2002. "Informational integration and FX trading," Journal of International Money and Finance, Elsevier, Elsevier, vol. 21(6), pages 807-831, November.
  12. Lubos Pástor & Meenakshi Sinha & Bhaskaran Swaminathan, 2008. "Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital," Journal of Finance, American Finance Association, American Finance Association, vol. 63(6), pages 2859-2897, December.
  13. Lee, Bong-Soo & Rui, Oliver M., 2002. "The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 51-78, January.
  14. Lee, Kuan-Hui, 2011. "The world price of liquidity risk," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(1), pages 136-161, January.
  15. Juan Pedro Gomez, 2005. "An International Capm With Consumption Externalities And Non-Financial Wealth," Working Papers Economia wp05-08, Instituto de Empresa, Area of Economic Environment.
  16. Hsin, Chin-Wen & Tseng, Po-Wen, 2012. "Stock price synchronicities and speculative trading in emerging markets," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 22(3), pages 82-109.
  17. Martin D. D. Evans & Viktoria Hnatkovska, 2005. "International Capital Flows, Returns and World Financial Integration," NBER Working Papers 11701, National Bureau of Economic Research, Inc.
  18. Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers.
  19. David G. Barr & Richard Priestley, . "Expected Returns, Risk, and the Integration of International Bond Markets," Economics and Finance Discussion Papers 97-01, Economics and Finance Section, School of Social Sciences, Brunel University.
  20. Gagnon, Louis & Karolyi, G. Andrew, 2007. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Working Paper Series 2006-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  21. Ram Bhar & Carl Chiarella & Wolfgang Runggaldier, 2001. "Filtering Equity Risk Premia From Derivative Prices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 69, Quantitative Finance Research Centre, University of Technology, Sydney.
  22. Llubos Pástor, 2001. "The Equity Premium and Structural Breaks," Journal of Finance, American Finance Association, American Finance Association, vol. 56(4), pages 1207-1239, 08.
  23. Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003. "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers 694, Department of Economics and Business, Universitat Pompeu Fabra.
  24. Alaganar, V.T. & Bhar, Ramaprasad, 2007. "Empirical properties of currency risk in country index portfolios," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 47(1), pages 159-174, March.
  25. Stephen R. Foerster & G. Andrew Karolyi, . "The Effects of Market Segmentation and Illiquidity on Asset Prices: Evidence from Foreign Stocks Listing in the US," Research in Financial Economics 9606, Ohio State University.
  26. Balvers, Ronald J. & Klein, Alina F., 2014. "Currency risk premia and uncovered interest parity in the International CAPM," Journal of International Money and Finance, Elsevier, Elsevier, vol. 41(C), pages 214-230.
  27. Darrat, Ali F. & Gilley, Otis W. & Li, Bin & Wu, Yanhui, 2011. "Revisiting the risk/return relations in the Asian Pacific markets: New evidence from alternative models," Journal of Business Research, Elsevier, vol. 64(2), pages 199-206, February.
  28. Tai, Chu-Sheng, 2004. "Can bank be a source of contagion during the 1997 Asian crisis?," Journal of Banking & Finance, Elsevier, vol. 28(2), pages 399-421, February.
  29. Harvey, Campbell R., 2001. "The specification of conditional expectations," Journal of Empirical Finance, Elsevier, Elsevier, vol. 8(5), pages 573-637, December.
  30. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, American Finance Association, vol. 48(5), pages 1779-1801, December.
  31. Ivaschenko, Iryna V., 2004. "Coping with financial spillovers from the United States: the effect of US corporate scandals on Canadian stock prices," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 14(4-5), pages 407-424.
  32. Karolyi, G. Andrew & Stulz, Rene M., 2003. "Are financial assets priced locally or globally?," Handbook of the Economics of Finance, Elsevier, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 16, pages 975-1020 Elsevier.
  33. Karolyi, G Andrew & Stulz, Rene M, 1996. " Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements," Journal of Finance, American Finance Association, American Finance Association, vol. 51(3), pages 951-86, July.
  34. Bae, Kee-Hong, 1995. "Market segmentation and time variation in the price of risk: Evidence on the Korean stock market," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 3(1), pages 1-29, May.
  35. Tai, Chu-Sheng, 2001. "A multivariate GARCH in mean approach to testing uncovered interest parity: evidence from Asia-Pacific foreign exchange markets," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 41(4), pages 441-460.
  36. Mo, Henry & Wu, Liuren, 2007. "International capital asset pricing: Evidence from options," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(4), pages 465-498, September.
  37. Gonzalez-Rivera, Gloria, 1996. "Time-varying risk The case of the American computer industry," Journal of Empirical Finance, Elsevier, Elsevier, vol. 2(4), pages 333-342, February.
  38. Gino Cenedese & Lucio Sarno & Ilias Tsiakas, 2014. "Foreign Exchange Risk and the Predictability of Carry Trade Returns," Working Paper Series, The Rimini Centre for Economic Analysis 02_14, The Rimini Centre for Economic Analysis.
  39. Patel, Ajay & Shoesmith, Gary L., 2004. "Term structure linkages surrounding the Plaza and Louvre accords: Evidence from Euro-rates and long-memory components," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2051-2075, September.
  40. G. Andrew Karolyi & Rene Stulz, . "Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements using ADRS," Research in Financial Economics 9501, Ohio State University.
  41. Dumas, Bernard & Solnik, Bruno, 1995. " The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, American Finance Association, vol. 50(2), pages 445-79, June.
  42. Saleem, Kashif & Vaihekoski, Mika, 2008. "Pricing of global and local sources of risk in Russian stock market," Emerging Markets Review, Elsevier, Elsevier, vol. 9(1), pages 40-56, March.
  43. Ali F. Darrat & Bin Li & Omar Benkato, 2011. "The Relationship between Volatility and Expected Returns: Some Evidence for Australia," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 10(1), pages 27-43, April.
  44. Moore, Winston, 2010. "Managing the Process of Removing Capital Controls: What Does the Literature Suggest?," MPRA Paper 21584, University Library of Munich, Germany.
  45. Lee, Wai, 1997. "Covariance risk, consumption risk, and international stock market returns," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 37(2), pages 491-510.
  46. Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 0909, Koc University-TUSIAD Economic Research Forum, revised Nov 2009.
  47. Wang, Steven Shuye & Meng Rui, Oliver & Firth, Michael, 2002. "Return and volatility behavior of dually-traded stocks: the case of Hong Kong," Journal of International Money and Finance, Elsevier, Elsevier, vol. 21(2), pages 265-293, April.
  48. Marcelle Chauvet & Simon Potter, 1999. "Nonlinear risk," Staff Reports 61, Federal Reserve Bank of New York.
  49. Francesco Giurda & Elias Tzavalis, 2004. "Is the Currency Risk Priced in Equity Markets?," Working Papers 511, Queen Mary, University of London, School of Economics and Finance.
  50. Nicholas Apergis & Sophia Eleptheriou, 2001. "Stock returns and volatility: Evidence from the Athens Stock market index," Journal of Economics and Finance, Springer, Springer, vol. 25(1), pages 50-61, March.
  51. Marie-Claude Beaulieu & Lynda Khalaf & Marie-Hélène Gagnon, 2006. "Testing Financial Integration: Finite Sample Motivated Mothods," Computing in Economics and Finance 2006 233, Society for Computational Economics.
  52. Olan T. Henry & Nilss Olekalns & Kalvinder Shields, 2004. "Time Variation And Asymmetry In The World Price Of Covariance Risk: The Implications For International Diversification," Department of Economics - Working Papers Series, The University of Melbourne 907, The University of Melbourne.
  53. Nilsson, Birger, 2002. "International Asset Pricing and the Benefits from World Market Diversification," Working Papers 2002:1, Lund University, Department of Economics.
  54. Saleem, Kashif & Vaihekoski, Mika, 2007. "Time-varying global and local sources of risk in Russian stock market," MPRA Paper 5787, University Library of Munich, Germany.
  55. Bong-Chan, Kho, 1996. "Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 41(2), pages 249-290, June.
  56. Poon, Winnie P. H. & Fung, Hung-Gay, 2000. "Red chips or H shares: which China-backed securities process information the fastest?," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 10(3-4), pages 315-343, December.
  57. Goyenko, Ruslan & Sarkissian, Sergei, 2010. "Flight to Liquidity and Global Equity Returns," MPRA Paper 27546, University Library of Munich, Germany.
  58. Rene M. Stulz, 1994. "International Portfolio Choice and Asset Pricing: An Integrative Survey," NBER Working Papers 4645, National Bureau of Economic Research, Inc.
  59. Gagnon, Louis & Karolyi, G. Andrew, 2006. "Price and Volatility Transmission across Borders," Working Paper Series 2006-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  60. Mohanty, Roshni & P, Srinivasan, 2014. "The Time-Varying Risk and Return Trade Off in Indian Stock Markets," MPRA Paper 55660, University Library of Munich, Germany.
  61. Fang, Hsing & Loo, Jean C. H., 2002. "Pricing of American Depositary Receipts under Market Segmentation," Global Finance Journal, Elsevier, vol. 13(2), pages 237-252.
  62. John Ammer, 1996. "Macroeconomic state variables as determinants of asset price covariances," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 553, Board of Governors of the Federal Reserve System (U.S.).
  63. Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, Elsevier, vol. 12(4), pages 363-380.
  64. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 22(2), pages 261-287, April.
  65. Francis, Bill B. & Leachman, Lori L., 1998. "Superexogeneity and the dynamic linkages among international equity markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(3), pages 475-492, June.
  66. Bali, Turan G., 2008. "The intertemporal relation between expected returns and risk," Journal of Financial Economics, Elsevier, Elsevier, vol. 87(1), pages 101-131, January.
  67. Ricardo Alverola, 2007. "Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, Universidad de Antioquia, Departamento de Economía, issue 66, pages 251-276, Enero-Jun.
  68. Paul Harrison & Harold H. Zhang, . "Cyclical Variation in the Risk and Return Relation," Computing in Economics and Finance 1997 175, Society for Computational Economics.
  69. Liang, Youguo & Mougoue', Mbodja, 1996. "The pricing of foreign exchange risk: Evidence from ADRS," International Review of Economics & Finance, Elsevier, vol. 5(4), pages 377-385.
  70. Madura, Jeff & Ngo, Thanh & Viale, Ariel M., 2011. "Convergent synergies in the global market for corporate control," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2468-2478, September.
  71. Li, Yuming & Zhong, Maosen, 2005. "Consumption habit and international stock returns," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 579-601, March.
  72. Jiang, Xiaoquan & Lee, Bong-Soo, 2014. "The intertemporal risk-return relation: A bivariate model approach," Journal of Financial Markets, Elsevier, Elsevier, vol. 18(C), pages 158-181.
  73. Ram Bhar & Carl Chiarella, 2000. "Infering Forward Looking Financial Market Risk Premia from Derivatives Prices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 42, Quantitative Finance Research Centre, University of Technology, Sydney.
  74. Griffin, John M. & Andrew Karolyi, G., 1998. "Another look at the role of the industrial structure of markets for international diversification strategies," Journal of Financial Economics, Elsevier, Elsevier, vol. 50(3), pages 351-373, December.
  75. Patro, Dilip K. & Wald, John K. & Wu, Yangru, 2002. "Explaining exchange rate risk in world stock markets: A panel approach," Journal of Banking & Finance, Elsevier, vol. 26(10), pages 1951-1972, October.
  76. Tom A. FEARNLEY, 2002. "Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp95, International Center for Financial Asset Management and Engineering.
  77. Carrieri, Francesca & Errunza, Vihang & Sarkissian, Sergei, 2006. "The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?," Working Papers 06-4, University of Pennsylvania, Wharton School, Weiss Center.
  78. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc.
  79. Leachman, Lori L. & Francis, Bill, 1995. "Long-run relations among the G-5 and G-7 equity markets: Evidence on the Plaza and Louvre Accords," Journal of Macroeconomics, Elsevier, Elsevier, vol. 17(4), pages 551-577.
  80. Huang, Wei, 2007. "Financial integration and the price of world covariance risk: Large- vs. small-cap stocks," Journal of International Money and Finance, Elsevier, Elsevier, vol. 26(8), pages 1311-1337, December.
  81. Bali, Turan G. & Wu, Liuren, 2010. "The role of exchange rates in intertemporal risk-return relations," Journal of International Money and Finance, Elsevier, Elsevier, vol. 29(8), pages 1670-1686, December.
  82. Mateus, Tiago, 2004. "The risk and predictability of equity returns of the EU accession countries," Emerging Markets Review, Elsevier, Elsevier, vol. 5(2), pages 241-266, June.
  83. Nicholas Tay & Zhen Zhu, 2000. "Correlations in Returns and Volatilities in Pacific-Rim Stock Markets," Open Economies Review, Springer, Springer, vol. 11(1), pages 27-47, January.
  84. Whitelaw, Robert F, 1994. " Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 49(2), pages 515-41, June.
  85. Tai, Chu-Sheng, 1999. "Time-varying risk premia in foreign exchange and equity markets: evidence from Asia-Pacific countries," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 9(3-4), pages 291-316, November.
  86. Giorgio De Santis & Bruno Gerard, 1995. "Time-varying risk and international portfolio diversification with contagious bear markets," Discussion Paper / Institute for Empirical Macroeconomics 99, Federal Reserve Bank of Minneapolis.
  87. Nitschka, Thomas, 2014. "Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 76-82.