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Citations for "World, National, and Industry Factors in Equity Returns"

by Lessard, Donald R

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  1. John M. Griffin & G. Andrew Karolyi, . "Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies," Research in Financial Economics 9608, Ohio State University.
  2. Claessens, Stijn & Moon-Whoan Rhee & DEC, 1994. "The effects of barriers on equity investment in developing countries," Policy Research Working Paper Series 1263, The World Bank.
  3. repec:laf:wpaper:201007 is not listed on IDEAS
  4. Baumöhl, Eduard & Lyócsa, Štefan, 2014. "Volatility and dynamic conditional correlations of worldwide emerging and frontier markets," Economic Modelling, Elsevier, vol. 38(C), pages 175-183.
  5. Chaudhury, M. M. & Lee, C. F., 1997. "Functional form of stock return model: Some international evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(1), pages 151-183.
  6. Baumohl, Eduard & Lyocsa, Stefan, 2013. "Volatility and dynamic conditional correlations of European emerging stock markets," MPRA Paper 49898, University Library of Munich, Germany.
  7. repec:eme:qrfmpp:v:3:y:2011:i:2:p:36-67 is not listed on IDEAS
  8. Tse, Yiuman, 1998. "International transmission of information: evidence from the Euroyen and Eurodollar futures markets," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 909-929, December.
  9. Michael R. King & Dan Segal, 2003. "Valuation of Canadian- vs. U.S.-Listed Equity: Is There a Discount?," Staff Working Papers 03-6, Bank of Canada.
  10. Eduard Baumöhl & Štefan Lyócsa, 2014. "How smooth is the stock market integration of CEE-3?," William Davidson Institute Working Papers Series wp1079, William Davidson Institute at the University of Michigan.
  11. Choi, Yoon K. & Kim, Dong-soon, 2000. "Determinants of American Depositary Receipts and their underlying stock returns: Implications for international diversification," International Review of Financial Analysis, Elsevier, vol. 9(4), pages 351-368.
  12. Yves Jégourel & Samuel Maveyraud, 2010. "An assessment of variances and covariances of European SRI funds returns : does the intensity of extra-financial negative screening matter?," Larefi Working Papers 1007, Larefi, Université Bordeaux 4.
  13. Marie-Paule Laurent, 2003. "Indices as diversification instruments in Europe," Working Papers CEB 03-004.RS, ULB -- Universite Libre de Bruxelles.
  14. Yves Jegourel & Samuel Maveyraud, 2010. "A reassessment of the European SRI Funds "underperformance": does the intensity of extra-financial negative screening matter?," Economics Bulletin, AccessEcon, vol. 30(1), pages 913-923.
  15. Kanao, Koji & Hamori, Shigeyuki, 2010. "The size of the underground economy in Japan," MPRA Paper 21562, University Library of Munich, Germany.
  16. Campa, José Manuel & Fernandes, Nuno, 2004. "Sources of Gains from International Portfolio Diversification," CEPR Discussion Papers 4390, C.E.P.R. Discussion Papers.
  17. Astudillo, Alfonso & Braun, Matías & Castañeda, Pablo, 2011. "The going public decision and the structure of equity markets," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1451-1470.
  18. Huang, Bwo-Nung & Yang, Chin-Wei & Hu, John Wei-Shan, 2000. "Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle," International Review of Financial Analysis, Elsevier, vol. 9(3), pages 281-297.
  19. Rajan, Murli & Friedman, Joseph, 1997. "An examination of the impact of country risk on the international portfolio selection decision," Global Finance Journal, Elsevier, vol. 8(1), pages 55-70.
  20. Peter Henry, 2007. "Capital Account Liberalization: Theory, Evidence, and Speculation," Discussion Papers 07-004, Stanford Institute for Economic Policy Research.
  21. Durai, S. Raja Sethu & Bhaduri, Saumitra N., 2011. "Correlation dynamics in equity markets: evidence from India," Research in International Business and Finance, Elsevier, vol. 25(1), pages 64-74, January.
  22. Dusan Isakov & Frédéric Sonney, 2004. "Are Practitioners Right? On the Relative Importance of Industrial Factors in International Stock Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 355-379, September.
  23. So, Jacky C. & Nyerges, Richard T., 1995. "International loans and the risk-return behavior of commercial banks: Some evidence from the capital market," Global Finance Journal, Elsevier, vol. 6(2), pages 135-153.
  24. Ramchand, Latha & Susmel, Raul, 1998. "Variances and covariances of international stock returns: the international capital asset pricing model revisited," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 39-57, January.
  25. Hiraki, Takato & Liu, Ming & Wang, Xue, 2015. "Country and industry concentration and the performance of international mutual funds," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 297-310.
  26. O'Hagan-Luff, Martha & Berrill, Jenny, 2015. "Why stay-at-home investing makes sense," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 1-14.
  27. KiHoon Jimmy Hong & Bin Peng & Xiaohui Zhang, 2014. "Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model," Research Paper Series 347, Quantitative Finance Research Centre, University of Technology, Sydney.
  28. Zheng Yi & Chen Heng & Wing-Keung Wong, 2009. "China’s Stock Market Integration with a Leading Power and a Close Neighbor," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 2(1), pages 38-74, December.
  29. Gregory Connor & Anita Suurlaht, 2012. "Dynamic Stock Market Covariances in the Eurozone," Economics, Finance and Accounting Department Working Paper Series n222-12.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  30. Vyrost, Tomas, 2015. "Country and industry effects in CEE stock market networks: Preliminary results," MPRA Paper 65775, University Library of Munich, Germany.
  31. Eiling, Esther & Gerard, Bruno & Hillion, Pierre & de Roon, Frans A., 2012. "International portfolio diversification: Currency, industry and country effects revisited," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1249-1278.
  32. Dekker, Arie & Sen, Kunal & Young, Martin R., 2001. "Equity market linkages in the Asia Pacific region: A comparison of the orthogonalised and generalised VAR approaches," Global Finance Journal, Elsevier, vol. 12(1), pages 1-33.
  33. Nicholas A. Michas, 1984. "Pension Funds: More Diversification," Canadian Public Policy, University of Toronto Press, vol. 10(1), pages 47-53, March.
  34. Berrill, Jenny, 2010. "Firm-level analysis of the international diversification of small integrated stock markets: Ireland 1999-2007," Research in International Business and Finance, Elsevier, vol. 24(2), pages 172-189, June.
  35. Jamshed Y. Uppal, 1993. "The Internationalisation of the Pakistani Stock Market: An Empirical Investigation," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 32(4), pages 605-618.
  36. Middleton, C.A.J. & Fifield, S.G.M. & Power, D.M., 2008. "An investigation of the benefits of portfolio investment in Central and Eastern European stock markets," Research in International Business and Finance, Elsevier, vol. 22(2), pages 162-174, June.
  37. Paul EHLING & Sofia B. RAMOS, 2003. "Geographical versus Industrial Diversification: A Mean Variance Spanning Approach," FAME Research Paper Series rp80, International Center for Financial Asset Management and Engineering.
  38. Marcelo, José Luis Miralles & Quirós, José Luis Miralles & Martins, José Luís, 2013. "The role of country and industry factors during volatile times," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 273-290.
  39. Christofi, A. & Pericli, A., 1999. "Correlation in price changes and volatility of major Latin American stock markets," Journal of Multinational Financial Management, Elsevier, vol. 9(1), pages 79-93, January.
  40. Xing, Xuejing, 2004. "A note on the time-series relationship between market industry concentration and market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 105-115, April.
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