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Global Asset Pricing

Citations

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Cited by:

  1. Ric Colacito & Mariano M. Croce & Federico Gavazzoni & Robert Ready, 2018. "Currency Risk Factors in a Recursive Multicountry Economy," Journal of Finance, American Finance Association, vol. 73(6), pages 2719-2756, December.
  2. Cakici, Nusret & Zaremba, Adam, 2024. "What drives stock returns across countries? Insights from machine learning models," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  3. Julian Di Giovanni & Galina Hale, 2022. "Stock Market Spillovers via the Global Production Network: Transmission of U.S. Monetary Policy," Journal of Finance, American Finance Association, vol. 77(6), pages 3373-3421, December.
  4. Qin, Weiping & Cho, Sungjun & Hyde, Stuart, 2022. "Measuring market integration during crisis periods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
  5. Ric Colacito & Max Croce & Steven Ho & Philip Howard, 2018. "BKK the EZ Way: International Long-Run Growth News and Capital Flows," American Economic Review, American Economic Association, vol. 108(11), pages 3416-3449, November.
  6. Ivan Petzev & Andreas Schrimpf & Alexander F. Wagner, 2015. "Has the Pricing of Stocks Become More Global?," Swiss Finance Institute Research Paper Series 15-48, Swiss Finance Institute, revised Apr 2016.
  7. Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
  8. Karolyi, G. Andrew & Wu, Ying, 2022. "Understanding the pricing of currency risk in global equity markets," Journal of Multinational Financial Management, Elsevier, vol. 63(C).
  9. Aabo, Tom & Pantzalis, Christos & Park, Jung Chul, 2015. "Multinationality and opaqueness," Journal of Corporate Finance, Elsevier, vol. 30(C), pages 65-84.
  10. Orlov, Vitaly & Äijö, Janne, 2015. "Benefits of wavelet-based carry trade diversification," Research in International Business and Finance, Elsevier, vol. 34(C), pages 17-32.
  11. Wenxin Du & Carolin E. Pflueger & Jesse Schreger, 2016. "Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy," NBER Working Papers 22592, National Bureau of Economic Research, Inc.
  12. Hassan, Tarek A. & Mertens, Thomas M. & Zhang, Tony, 2016. "Not so disconnected: Exchange rates and the capital stock," Journal of International Economics, Elsevier, vol. 99(S1), pages 43-57.
  13. Tarek A Hassan & Rui C Mano, 2019. "Forward and Spot Exchange Rates in a Multi-Currency World," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 134(1), pages 397-450.
  14. Du, Ding & Hu, Ou, 2015. "The world market risk premium and U.S. macroeconomic announcements," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 75-97.
  15. Raphael Auer & Bruce Muneaki Iwadate & Andreas Schrimpf & Alexander F. Wagner, 2022. "Global Production Linkages and Stock Market Comovement," Swiss Finance Institute Research Paper Series 22-18, Swiss Finance Institute.
  16. Bosi, Stefano & Fontaine, Patrice & Le Van, Cuong, 2021. "Long-run equilibrium in international assets and goods markets: Why is the law of one price required?," Journal of Economic Behavior & Organization, Elsevier, vol. 190(C), pages 891-904.
  17. Cakici, Nusret & Zaremba, Adam, 2023. "Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns," Journal of Banking & Finance, Elsevier, vol. 149(C).
  18. Lewis, Karen K. & Liu, Edith X., 2015. "Evaluating international consumption risk sharing gains: An asset return view," Journal of Monetary Economics, Elsevier, vol. 71(C), pages 84-98.
  19. Vidal-Llana, Xenxo & Uribe, Jorge M. & Guillén, Montserrat, 2023. "European stock market volatility connectedness: The role of country and sector membership," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  20. Fletcher, Jonathan, 2018. "Bayesian tests of global factor models," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 279-289.
  21. Budras, Oliver & Dierkes, Maik & Sckade, Florian, 2025. "Localized risk factors: Performance differentials between state-level and US factor models," Economic Modelling, Elsevier, vol. 147(C).
  22. Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
  23. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
  24. Lewis, Karen K., 2017. "Changing risk exposures of cross-listed firms and market integration," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 378-405.
  25. Sama Haddad, 2023. "Global Financial Market Integration: A Literature Survey," JRFM, MDPI, vol. 16(12), pages 1-27, November.
  26. Wenxin Du & Carolin E. Pflueger & Jesse Schreger, 2020. "Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy," Journal of Finance, American Finance Association, vol. 75(6), pages 3097-3138, December.
  27. Tarek A. Hassan & Tony Zhang, 2021. "The Economics of Currency Risk," Annual Review of Economics, Annual Reviews, vol. 13(1), pages 281-307, August.
  28. Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2013. "The Term Structure of Currency Carry Trade Risk Premia," NBER Working Papers 19623, National Bureau of Economic Research, Inc.
  29. Long, Huaigang & Chiah, Mardy & Zaremba, Adam & Umar, Zaghum, 2024. "Changes in shares outstanding and country stock returns around the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
  30. Jagannathan, Murali & Jiao, Wei & Karolyi, G. Andrew, 2022. "Is there a home field advantage in global markets?," Journal of Financial Economics, Elsevier, vol. 143(2), pages 742-770.
  31. R. Balasubramanian & Brajesh Kumar, 2023. "Equity Home Bias in Emerging and Advanced Economies: Trend Before and During COVID-19," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 29(4), pages 261-275, November.
  32. Atanas Mihov & Andy Naranjo, 2019. "Corporate internationalization, subsidiary locations, and the cost of equity capital," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 50(9), pages 1544-1565, December.
  33. Chunxin Jia & Yaping Wang & Wei Xiong, 2015. "Social Trust and Differential Reactions of Local and Foreign Investors to Public News," NBER Working Papers 21075, National Bureau of Economic Research, Inc.
  34. J. Davies & Jonathan Fletcher & Andrew Marshall, 2015. "Testing index-based models in U.K. stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 45(2), pages 337-362, August.
  35. Yang Liu & Mariano Croce & Ivan Shaliastovich & Ric Colacito, 2016. "Volatility Risk Pass-Through," 2016 Meeting Papers 135, Society for Economic Dynamics.
  36. Craig Doidge & G. Andrew Karolyi & René M. Stulz, 2020. "The US Equity Valuation Premium, Globalization, and Climate Change Risks," NBER Working Papers 27022, National Bureau of Economic Research, Inc.
  37. Rogoff, Kenneth S. & Tashiro, Takeshi, 2015. "Japan’s exorbitant privilege," Journal of the Japanese and International Economies, Elsevier, vol. 35(C), pages 43-61.
  38. Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
  39. Grüning, Patrick, 2017. "International endogenous growth, macro anomalies, and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 118-148.
  40. Lustig, Hanno & Stathopoulos, Andreas & Verdelhan, Adrien, 2016. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," Research Papers 3411, Stanford University, Graduate School of Business.
  41. Christian Eufinger & Andrej Gill & Florian Hett, 2024. "Domestic financial conditions and MNCs’ global competitiveness: evidence from the Swiss franc shock," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 55(8), pages 1057-1068, October.
  42. Adrien Verdelhan, 2018. "The Share of Systematic Variation in Bilateral Exchange Rates," Journal of Finance, American Finance Association, vol. 73(1), pages 375-418, February.
  43. Lawrenz, Jochen & Zorn, Josef, 2018. "Decomposing the predictive power of local and global financial valuation ratios," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 137-149.
  44. Bai, Jushan & Ando, Tomohiro, 2013. "Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors," MPRA Paper 52785, University Library of Munich, Germany, revised Dec 2013.
  45. Fernandes, Marcelo & Paye, Bradley & Roma, Carolina Magda da Silva, 2025. "The equity premium and the disconnect between uncertainty and volatility: A global perspective," The Quarterly Review of Economics and Finance, Elsevier, vol. 103(C).
  46. Boris Hofmann & Ilhyock Shim & Hyun Song Shin, 2020. "Bond Risk Premia and The Exchange Rate," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(S2), pages 497-520, December.
  47. Matthew M. Wynter, 2019. "Why did the equity home bias fall during the financial panic of 2008?," The World Economy, Wiley Blackwell, vol. 42(5), pages 1343-1372, May.
  48. Long, Huaigang & Zaremba, Adam & Zhou, Wenyu & Bouri, Elie, 2022. "Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns," Journal of Financial Markets, Elsevier, vol. 61(C).
  49. Hueng, C. James & Yau, Ruey, 2013. "Country-specific idiosyncratic risk and global equity index returns," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 326-337.
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