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What Determines Expected International Asset Returns?

Citations

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Cited by:

  1. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
  2. Phylaktis, Kate & Xia, Lichuan, 2006. "Sources of firms' industry and country effects in emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 459-475, April.
  3. Hanno Lustig & Robert J. Richmond, 2017. "Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates," NBER Working Papers 23773, National Bureau of Economic Research, Inc.
  4. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2011. "Common Risk Factors in Currency Markets," The Review of Financial Studies, Society for Financial Studies, vol. 24(11), pages 3731-3777.
  5. De Moor, Lieven & Sercu, Piet, 2011. "Country versus sector factors in equity returns: The roles of non-unit exposures," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 64-77, January.
  6. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
  7. Eric Girard & Amit Sinha, 2008. "Risk and Return in the Next Frontier," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 7(1), pages 43-80, January.
  8. Harry J. Turtle & Chengping Zhang, 2015. "Structural breaks and portfolio performance in global equity markets," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 909-922, June.
  9. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "Characterizing Asymmetric Information in International Equity Markets," International Finance 0405005, University Library of Munich, Germany.
  10. Tom A. FEARNLEY, 2002. "Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts," FAME Research Paper Series rp97, International Center for Financial Asset Management and Engineering.
  11. Albuquerque, Rui & H. Bauer, Gregory & Schneider, Martin, 2009. "Global private information in international equity markets," Journal of Financial Economics, Elsevier, vol. 94(1), pages 18-46, October.
  12. Hanno Lustig & Adrien Verdelhan, 2007. "The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk," American Economic Review, American Economic Association, vol. 97(1), pages 89-117, March.
  13. Keiber, Karl Ludwig & Samyschew, Helene, 2017. "The world price of sentiment risk," Global Finance Journal, Elsevier, vol. 32(C), pages 62-82.
  14. Li, Yulin, 2021. "Investor sentiment and sovereign bonds," Journal of International Money and Finance, Elsevier, vol. 115(C).
  15. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics.
  16. Jushan Bai & Shuzhong Shi, 2011. "Estimating High Dimensional Covariance Matrices and its Applications," Annals of Economics and Finance, Society for AEF, vol. 12(2), pages 199-215, November.
  17. Haque Mahfuzul & Hassan M. Kabir & Maroney Neal C & Sackley William H, 2004. "An Empirical Examination of Stability, Predictability, and Volatility of Middle Eastern and African Emerging Stock Markets," Review of Middle East Economics and Finance, De Gruyter, vol. 2(1), pages 18-41, April.
  18. Samson, Lucie, 2013. "Asset prices and exchange risk: Empirical evidence from Canada," Research in International Business and Finance, Elsevier, vol. 28(C), pages 35-44.
  19. Nitschka, Thomas, 2018. "Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 44-54.
  20. Hanno Lustig, 2004. "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006)," UCLA Economics Online Papers 303, UCLA Department of Economics.
  21. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "International Equity Flows and Returns: A Quantitative Equilibrium Approach," International Finance 0405006, University Library of Munich, Germany.
  22. Doriana Ruffino & Jonathan Treussard, 2006. "A Study of Inaction in Investment Games via the Early Exercise Premium Representation," Boston University - Department of Economics - Working Papers Series WP2006-040, Boston University - Department of Economics.
  23. Nieto Domenech, Belén & Orbe Mandaluniz, Susan & Zárraga Alonso, Ainhoa, 2011. "Time-Varying Beta Estimators in the Mexican Emerging Market," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  24. Bekaert, Geert & Harvey, Campbell R, 1995. "Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
  25. Girard, Eric & Omran, Mohamed, 2007. "What are the risks when investing in thin emerging equity markets: Evidence from the Arab world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(1), pages 102-123, February.
  26. Andreas Humpe & Peter Macmillan, 2007. "Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CDMA Working Paper Series 200720, Centre for Dynamic Macroeconomic Analysis.
  27. Hanno Lustig & Adrien Verdelhan, 2009. "Comment on "Carry Trades and Currency Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 361-384, National Bureau of Economic Research, Inc.
  28. Barr, David G. & Priestley, Richard, 2004. "Expected returns, risk and the integration of international bond markets," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 71-97, February.
  29. 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).
  30. Posedel Šimović, Petra & Tkalec, Marina & Vizek, Maruška & Lee, Junsoo, 2016. "Time-varying integration of the sovereign bond markets in European post-transition economies," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 30-40.
  31. Lee, Wai, 1997. "Covariance risk, consumption risk, and international stock market returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(2), pages 491-510.
  32. Marina Emiris, 2002. "Measuring capital market integration," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 200-221, Bank for International Settlements.
  33. Selcuk Caner & Zeynep Onder, 2005. "Sources of volatility in stock returns in emerging markets," Applied Economics, Taylor & Francis Journals, vol. 37(8), pages 929-941.
  34. 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.
  35. Wayne Ferson & Campbell R. Harvey, 1994. "An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns," NBER Chapters, in: The Internationalization of Equity Markets, pages 59-147, National Bureau of Economic Research, Inc.
  36. Bange, Mary M. & Khang, Kenneth & Miller Jr., Thomas W., 2008. "Benchmarking the performance of recommended allocations to equities, bonds, and cash by international investment houses," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 363-386, June.
  37. Hanno Lustig & Adrien Verdelhan, 2005. "The Cross-Section of Currency Risk Premia and US Consumption Growth Risk," NBER Working Papers 11104, National Bureau of Economic Research, Inc.
  38. Tom A. FEARNLEY, 2002. "Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds," FAME Research Paper Series rp95, International Center for Financial Asset Management and Engineering.
  39. Grossmann, Axel & Simpson, Marc W., 2015. "Bid-ask spreads, deviations from PPP and the forward prediction error: The case of the British pound and the euro," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 124-139.
  40. Andrea Beltratti & Claudio Morana, 2006. "Net Inflows and Time-Varying Alphas: The Case of Hedge Funds," ICER Working Papers 30-2006, ICER - International Centre for Economic Research.
  41. Li, Yulin & Wald, John K. & Wang, Zijun, 2020. "Sovereign bonds, coskewness, and monetary policy regimes," Journal of Financial Stability, Elsevier, vol. 50(C).
  42. Ang, Andrew & Chen, Joseph, 2007. "CAPM over the long run: 1926-2001," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 1-40, January.
  43. Mateus, Tiago, 2004. "The risk and predictability of equity returns of the EU accession countries," Emerging Markets Review, Elsevier, vol. 5(2), pages 241-266, June.
  44. Groth, Charlotta & Zampolli, Fabrizio, 2010. "Macroeconomic stability and the real interest rate: a cross-country analysis," Discussion Papers 30, Monetary Policy Committee Unit, Bank of England.
  45. Keiber, Karl Ludwig & Samyschew, Helene, 2016. "The pricing of sentiment risk in European stock markets," Discussion Papers 384, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  46. 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.
  47. Alexandra HOROBET & Livia ILIE, 2009. "On The Exchange Rate Risk Contribution To The Performance Of International Investments: The Case Of Romania," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 3, pages 57-83, May.
  48. Demir Bektić & Britta Hachenberg & Dirk Schiereck, 2020. "Factor-based investing in government bond markets: a survey of the current state of research," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 94-105, March.
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