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Modeling Australia's country risk: a country beta approach

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

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  • Gangemi, Michael A. M. & Brooks, Robert D. & Faff, Robert W., 2000. "Modeling Australia's country risk: a country beta approach," Journal of Economics and Business, Elsevier, vol. 52(3), pages 259-276.
  • Handle: RePEc:eee:jebusi:v:52:y:2000:i:3:p:259-276
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    References listed on IDEAS

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    1. Jagannathan, Ravi & Wang, Zhenyu, 1996. " The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
    2. Harvey, Campbell R. & Zhou, Guofu, 1993. "International asset pricing with alternative distributional specifications," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 107-131, June.
    3. Nicolaas Groenewold, 1997. "Share Prices and Macroeconomic Factors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(9&10), pages 1367-1383.
    4. 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.
    5. 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.
    6. 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, March.
    7. 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.
    8. 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.
    9. Mark Stewart, 1994. "Should We Concern Ourselves With Foreign Debt?," Economic Papers, The Economic Society of Australia, vol. 13(1), pages 114-121, March.
    10. 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.
    11. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-157, March.
    12. 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, September.
    13. 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.
    14. 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.
    15. Miller, Merton H., 1998. "The current Southeast Asia financial crisis1," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 225-233, August.
    16. Abell, John D. & Krueger, Thomas M., 1989. "Macroeconomic influences on beta," Journal of Economics and Business, Elsevier, vol. 41(2), pages 185-193, May.
    17. 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.
    18. 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.
    19. 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 135-140, Supplemen.
    20. 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.
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    Citations

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    Cited by:

    1. Marshall, Andrew & Maulana, Tubagus & Tang, Leilei, 2009. "The estimation and determinants of emerging market country risk and the dynamic conditional correlation GARCH model," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 250-259, December.
    2. Joaquim Andrade & Vladimir Teles, 2006. "An empirical model of the Brazilian country risk -- an extension of the beta country risk model," Applied Economics, Taylor & Francis Journals, vol. 38(11), pages 1271-1278.
    3. repec:ebl:ecbull:v:7:y:2008:i:14:p:1-12 is not listed on IDEAS
    4. Piotr Wdowinski, 2004. "Determinants of Country Beta Risk in Poland," CESifo Working Paper Series 1120, CESifo Group Munich.
    5. Chopra, Parvesh K. & Kanji, Gopal K., 2010. "On Measuring Country Risk: A new System Modelling Approach - La misura del rischio paese: un nuovo approccio system modelling," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 63(4), pages 479-515.
    6. Goldberg, Cathy S. & Veitch, John M., 2010. "Country risk and financial integration--A case study of South Africa," Research in International Business and Finance, Elsevier, vol. 24(2), pages 138-145, June.
    7. Hooy Chee-Wooi & Robert D. Brooks, 2015. "The Components of Systematic Risk and Their Determinants in The Malaysian Equity Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 11(2), pages 151-176.
    8. Verma, Rahul & Soydemir, Gokce, 2006. "Modeling country risk in Latin America: A country beta approach," Global Finance Journal, Elsevier, vol. 17(2), pages 192-213, December.
    9. Ülkü, Numan & Baker, Saleh, 2014. "Country world betas: The link between the stock market beta and macroeconomic beta," Finance Research Letters, Elsevier, vol. 11(1), pages 36-46.

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