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Modeling Australia's country risk: a country beta approach

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

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File URL: http://www.sciencedirect.com/science/article/B6V7T-4031648-2/2/fe11ebd51cc9b3b786dffb85a784cff8
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconbus

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  1. 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.
  2. 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.
  3. 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.
  4. Abell, John D. & Krueger, Thomas M., 1989. "Macroeconomic influences on beta," Journal of Economics and Business, Elsevier, vol. 41(2), pages 185-193, May.
  5. 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.
  6. Campbell R. Harvey & Guofu Zhou, 1993. "International asset pricing with alternative distributional specifications," CEMA Working Papers 277, China Economics and Management Academy, Central University of Finance and Economics.
  7. 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.
  8. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-57, March.
  9. 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.
  10. Nicolaas Groenewold, 1997. "Share Prices and Macroeconomic Factors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(9&10), pages 1367-1383.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis.
  16. 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.
  17. 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.
  18. Miller, Merton H., 1998. "The current Southeast Asia financial crisis1," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 225-233, August.
  19. 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.
  20. Mark Stewart, 1994. "Should We Concern Ourselves With Foreign Debt?," Economic Papers, The Economic Society of Australia, vol. 13(1), pages 114-121, 03.
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