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Testing International Asset Pricing: Some Pessimistic Views

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  1. Ferson, Wayne E. & Harvey, Campbell R., 1997. "Fundamental determinants of national equity market returns: A perspective on conditional asset pricing," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1625-1665, December.
  2. Kuchin I.I., 2016. "Exchange rate risk exposure in asset pricing theory," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, vol. 16(3), pages 31-41.
  3. Michel Normandin, 1999. "The Integration of Financial Markets and the Conduct of Monetary Policies: The Case of Canada and the United States," Cahiers de recherche CREFE / CREFE Working Papers 67, CREFE, Université du Québec à Montréal.
  4. Wang, Yuenan & Iorio, Amalia Di, 2007. "Are the China-related stock markets segmented with both world and regional stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 277-290, July.
  5. Arshanapalli, Bala & Doukas, John & Lang, Larry H. P., 1995. "Pre and post-October 1987 stock market linkages between U.S. and Asian markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 57-73, May.
  6. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019. "Time-varying energy and stock market integration in Asia," Energy Economics, Elsevier, vol. 80(C), pages 777-792.
  7. Bessler, Wolfgang & Taushanov, Georgi & Wolff, Dominik, 2021. "Optimal asset allocation strategies for international equity portfolios: A comparison of country versus industry optimization," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
  8. Khaled Guesmi & Frédéric Teulon, 2014. "The determinants of regional stock market integration in middle east: A conditional ICAPM approach," International Economics, CEPII research center, issue 137, pages 22-31.
  9. Jonathan A. Batten & Igor Lončarski & Peter G. Szilagyi, 2018. "When Kamay Met Hill: Organisational Ethics in Practice," Journal of Business Ethics, Springer, vol. 147(4), pages 779-792, February.
  10. Richard Heaney & Terry Hallahan & Thomas Josev & Heather Mitchell, 2007. "Time-Changing Alpha? The Case of Australian International Mutual Funds," Australian Journal of Management, Australian School of Business, vol. 32(1), pages 95-112, June.
  11. Davide Lombardo & Marco Pagano, 1999. "Legal Determinants of the Return on Equity," CSEF Working Papers 24, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 01 Dec 2000.
  12. 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.
  13. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2021. "Hedging stocks with oil," Energy Economics, Elsevier, vol. 93(C).
  14. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2017. "Can stock market investors hedge energy risk? Evidence from Asia," Energy Economics, Elsevier, vol. 66(C), pages 559-570.
  15. Korkmaz, Turhan & Cevik, Emrah Ismail & Gurkan, Serhan, 2010. "Testing the international capital asset pricing model with Markov switching model in emerging markets," MPRA Paper 71481, University Library of Munich, Germany, revised 2010.
  16. Gerard, Bruno & Thanyalakpark, Kessara & Batten, Jonathan A., 2003. "Are the East Asian markets integrated? Evidence from the ICAPM," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 585-607.
  17. David G. Kenchington, 2019. "Does a change in dividend tax rates in the U.S. affect equity prices of non-U.S. stocks?," Review of Accounting Studies, Springer, vol. 24(2), pages 593-628, June.
  18. Maosen Zhong & Hui Yang, 2005. "Risk Exposures and International Diversification: Evidence from iShares," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(3‐4), pages 737-772, April.
  19. David C. Ling & Andy Naranjo, 1999. "The Integration of Commercial Real Estate Markets and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(3), pages 483-515, September.
  20. Benson, Karen L. & Faff, Robert W., 2006. "Conditional performance evaluation and the relevance of money flows for Australian international equity funds," Pacific-Basin Finance Journal, Elsevier, vol. 14(3), pages 231-249, June.
  21. Jonathan A. Batten & Peter Morgan & Peter G. Szilagyi, 2015. "Time Varying Asian Stock Market Integration," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 60(01), pages 1-24.
  22. Ayadi, O. Felix & Dufrene, Uric B. & Chatterjee, Amitava, 1998. "Investment implications of the korean financial market reform," International Review of Financial Analysis, Elsevier, vol. 7(1), pages 83-94.
  23. Jonathan A. Batten & Peter G. Szilagyi & Wagner, 2015. "Should emerging market investors buy commodities?," Applied Economics, Taylor & Francis Journals, vol. 47(39), pages 4228-4246, August.
  24. Michael Curran & Adnan Velic, 2020. "The CAPM, National Stock Market Betas, and Macroeconomic Covariates: a Global Analysis," Open Economies Review, Springer, vol. 31(4), pages 787-820, September.
  25. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2018. "Addressing COP21 using a stock and oil market integration index," Energy Policy, Elsevier, vol. 116(C), pages 127-136.
  26. L. de Moor & P. Sercu, 2004. "CAPM Tests and Alternative Factor Portfolio Composition.Getting the Alpha’s Right," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(4), pages 789-846.
  27. Wayne E. Ferson & Campbell R. Harvey, 1999. "Economic, Financial, and Fundamental Global Risk In and Out of the EMU," NBER Working Papers 6967, National Bureau of Economic Research, Inc.
  28. Morelli, David, 2010. "European capital market integration: An empirical study based on a European asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 363-375, October.
  29. Mahajan, Arvind & Furtado, Eugene P. H., 1996. "Exchange rate regimes and international market segmentation: Evidence from pricing effects of international listings," Global Finance Journal, Elsevier, vol. 7(2), pages 153-168.
  30. Joanne Hill & Thomas Schneeweis, 1983. "International Diversification Of Equities And Fixed-Income Securities," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(4), pages 333-343, December.
  31. Batten, Jonathan A. & Lončarski, Igor & Szilagyi, Peter G., 2021. "Strategic insider trading in foreign exchange markets," Journal of Corporate Finance, Elsevier, vol. 69(C).
  32. Gerard Hoberg & S. Katie Moon, 2019. "The Offshoring Return Premium," Management Science, INFORMS, vol. 67(6), pages 2876-2899, June.
  33. Naranjo, Andy & Protopapadakis, Aris, 1997. "Financial market integration tests: an investigation using US equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(2), pages 93-135, July.
  34. Muhammad Adnan Arshad & Saira Munir & Bashir Ahmad & Muhammad Waseem, 2019. "Do factors matter for predicting high-risk stock returns? Comparison of single-, three- and five-factor CAPM," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-16, June.
  35. Begoña Font Belaire, 2012. "Can the exchange rate, inflation and domestic risk factors be overlooked in international asset pricing?," Working Papers. Serie EC 2012-04, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
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