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Citations for "An equilibrium model of the international capital market"

by Solnik, Bruno H.

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  1. Hail, Luzi & Leuz, Christian, 2005. "Cost of Capital and Cash Flow Effects of U.S. Cross Listings," Working Papers 05-2, University of Pennsylvania, Wharton School, Weiss Center.
  2. Du, Ding & Hu, Ou & Wu, Hong, 2014. "Emerging market currency exposure: Taiwan," Journal of Multinational Financial Management, Elsevier, vol. 28(C), pages 47-61.
  3. Barron, John M. & Ni, Jinlan, 2008. "Endogenous asymmetric information and international equity home bias: The effects of portfolio size and information costs," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 617-635, June.
  4. repec:zbw:darddp:20147 is not listed on IDEAS
  5. Gelman, Maria & Jochem, Axel & Reitz, Stefan & Taylor, Mark P., 2015. "Real financial market exchange rates and capital flows," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 50-69.
  6. Jongmoo Jay Choi & Elyas Elyasiani, 1996. "Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks," Center for Financial Institutions Working Papers 96-53, Wharton School Center for Financial Institutions, University of Pennsylvania.
  7. Connolly, Robert A. & Wang, F. Albert, 2003. "International equity market comovements: Economic fundamentals or contagion?," Pacific-Basin Finance Journal, Elsevier, vol. 11(1), pages 23-43, January.
  8. John Y. Campbell & Luis M. Viceira, 1998. "Who Should Buy Long-Term Bonds?," NBER Working Papers 6801, National Bureau of Economic Research, Inc.
  9. Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers.
  10. Thomas Chiang & Jose Trinidad, 1997. "Risk and International Parity Conditions: A Synthesis from Consumption Based Models," International Economic Journal, Taylor & Francis Journals, vol. 11(2), pages 73-101.
  11. Mishra, Anil V., 2015. "Measures of equity home bias puzzle," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 293-312.
  12. Panayiotis Alexakis & Anna Vasila, 2010. "Equity Interconnections in Major European Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 109-132.
  13. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011. "Global Integration of Central and Eastern European Financial Markets—The Role of Economic Sentiments," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 137-157, 02.
  14. Viceira, Luis & Serfaty-de Medeiros, Karine & Campbell, John, 2009. "Global Currency Hedging," Scholarly Articles 3153308, Harvard University Department of Economics.
  15. Pavlova, Anna & Rigobon, Roberto, 2004. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  16. Ross Levine & Sergio L. Schmukler, 2005. "Internationalization and the Evolution of Corporate Valuation," NBER Working Papers 11023, National Bureau of Economic Research, Inc.
  17. Ross Levine, 1986. "An international arbitrage pricing model with PPP deviations," International Finance Discussion Papers 294, Board of Governors of the Federal Reserve System (U.S.).
  18. Balvers, Ronald J. & Klein, Alina F., 2014. "Currency risk premia and uncovered interest parity in the International CAPM," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 214-230.
  19. Javed Anwar & M. Tariq Javed, 2000. "Capital Markets and Foreign Ownership Restrictions: An Empirical Analysis of Emerging Stock Markets," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 39(4), pages 933-950.
  20. Horst Entorf & Gösta Jamin, 2007. "German Exchange Rate Exposure at DAX and Aggregate Levels, International Trade and the Role of Exchange Rate Adjustment Costs," German Economic Review, Verein für Socialpolitik, vol. 8, pages 344-374, 08.
  21. Viceira, Luis & Campbell, John & White, Joshua, 2003. "Foreign Currency for Long-Term Investors," Scholarly Articles 3128708, Harvard University Department of Economics.
  22. Ni, Jinlan, 2009. "The effects of portfolio size on international equity home bias puzzle," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 469-478, June.
  23. Bruno Solnik & Luo Zuo, 2012. "A Global Equilibrium Asset Pricing Model with Home Preference," Management Science, INFORMS, vol. 58(2), pages 273-292, February.
  24. David Burgess & Joel Fried, 1999. "Canadian Retirement Savings Plans and the Foreign Property Rule," Canadian Public Policy, University of Toronto Press, vol. 25(3), pages 395-416, September.
  25. Bernard Dumas & Bruno Solnik, 1993. "The World Price of Foreign Exchange Risk," NBER Working Papers 4459, National Bureau of Economic Research, Inc.
  26. Nicolas Coeurdacier & Hélène Rey, 2010. "Home bias in open economy financial macroeconomics," Working Papers hal-01069440, HAL.
  27. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
  28. 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.
  29. Iuliia Brushko & Yuko Hashimoto, 2014. "The Role of Country Concentration in the International Portfolio Investment Positions for the European Union Members," IMF Working Papers 14/74, International Monetary Fund.
  30. Kim Nummelin & Mika Vaihekoski, 2002. "World capital markets and Finnish stock returns," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 322-343.
  31. Dominique Pépin, 2004. "Globalisation des marchés de capitaux et valorisation des actifs financiers," Revue économique, Presses de Sciences-Po, vol. 55(2), pages 207-226.
  32. R. B. Johnston & Chris Ryan, 1994. "The Impact of Controlson Capital Movementson the Private Capital Accounts of Countries' Balance of Payments; Empirical Estimates and Policy Implications," IMF Working Papers 94/78, International Monetary Fund.
  33. repec:ipg:wpaper:2013-003 is not listed on IDEAS
  34. Sohnke M. Bartram & John Griffin & David T. Ng, 2012. "How Important are Foreign Ownership Linkages for International Stock Returns?," Working Papers 122012, Hong Kong Institute for Monetary Research.
  35. Campbell R. Harvey & Bruno Solnik & Guofu Zhou, 2002. "What Determines Expected International Asset Returns?," Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 249-298, November.
  36. Kim, In Joon & Kim, So Jung & Yoon, Sun-Joong, 2014. "A dark side of international capital market integration: Domestic investors' view," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 238-256.
  37. Frankel, Jeffrey A., 1994. "The Internalization of Equity Markets: Introduction," Center for International and Development Economics Research (CIDER) Working Papers 233216, University of California-Berkeley, Department of Economics.
  38. Brenda Gonzalez-Hermosillo & Vance Martin & Mardi Dungey & Renee Fry, 2003. "Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises," IMF Working Papers 03/251, International Monetary Fund.
  39. Fidora, Michael & Fratzscher, Marcel & Thimann, Christian, 2006. "Home bias in global bond and equity markets: the role of real exchange rate volatility," Working Paper Series 0685, European Central Bank.
  40. Vassalou, Maria, 2000. "Exchange rate and foreign inflation risk premiums in global equity returns," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 433-470, June.
  41. Carole Gresse & Laurence Porteu de la Morandière, 2015. "Rising and Senior Stars in European Financial Analyst Rankings: The Talented and the Famous," Working Papers 01, Groupe ESC Pau, Research Department, revised Jan 2015.
  42. 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.
  43. Tai, Chu-Sheng, 2007. "Market integration and contagion: Evidence from Asian emerging stock and foreign exchange markets," Emerging Markets Review, Elsevier, vol. 8(4), pages 264-283, December.
  44. Petzev, Ivan & Schrimpf, Andreas & Wagner, Alexander F, 2015. "Has the Pricing of Stocks Become More Global?," CEPR Discussion Papers 10966, C.E.P.R. Discussion Papers.
  45. Mohamed El Hedi Arouri & Christophe Rault & Ana Maria Sova & Robert Sova & Frédéric Teulon, 2013. "Market Structure and the Cost of Capital," Working Papers hal-00798048, HAL.
  46. Francesco Giurda & Elias Tzavalis, 2004. "Is the Currency Risk Priced in Equity Markets?," Working Papers 511, Queen Mary University of London, School of Economics and Finance.
  47. Chang, Guang-Di & Chen, Chia-Shih, 2014. "Evidence of contagion in global REITs investment," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 148-158.
  48. Buchanan, Bonnie & English II, Philip C., 2007. "Law, finance, and emerging market returns," Emerging Markets Review, Elsevier, vol. 8(3), pages 181-193, September.
  49. Jithendranathan, Thadavillil & Nirmalanandan, T. R. & Tandon, Kishore, 2000. "Barriers to international investing and market segmentation: Evidence from Indian GDR market," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 399-417, July.
  50. De Santis, Giorgio & Gerard, Bruno & Hillion, Pierre, 2003. "The relevance of currency risk in the EMU," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 427-462.
  51. Francis, Bill B & Hasan, Iftekhar & Hunter , Delroy M., 2002. "Return-volatility linkages in the international equity and currency markets," Research Discussion Papers 9/2002, Bank of Finland.
  52. Du, Ding & Hu, Ou, 2012. "Foreign exchange volatility and stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1202-1216.
  53. Magi, Alessandro, 2009. "Portfolio choice, behavioral preferences and equity home bias," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 501-520, May.
  54. Solnik, Bruno, 1993. "The performance of international asset allocation strategies using conditioning information," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 33-55, June.
  55. Koedijk, Kees & Kool, Clemens J. M. & Schotman, Peter C & Van Dijk, Mathijs A, 2001. "The Cost of Capital in International Financial Markets: Local or Global," CEPR Discussion Papers 3062, C.E.P.R. Discussion Papers.
  56. Michaelides, Alexander, 2003. "International portfolio choice, liquidity constraints and the home equity bias puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 555-594, December.
  57. Harry. M Kat & Joelle Miffre, 2002. "Performance Evaluation and Conditioning Information: The case of Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2002-10, Henley Business School, Reading University.
  58. Susan Thorp, 2004. "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings 148, Econometric Society.
  59. repec:ipg:wpaper:3 is not listed on IDEAS
  60. Bong-Chan Kho & René M. Stulz & Francis E. Warnock, 2009. "Financial Globalization, Governance, and the Evolution of the Home Bias," Journal of Accounting Research, Wiley Blackwell, vol. 47(2), pages 597-635, 05.
  61. Garyn-Tal, Sharon & Lauterbach, Beni, 2015. "The formulation of the four factor model when a considerable proportion of firms is dual-listed," Emerging Markets Review, Elsevier, vol. 24(C), pages 1-12.
  62. Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2006. "The Performance of International Equity Portfolios," NBER Working Papers 12346, National Bureau of Economic Research, Inc.
  63. 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.
  64. Maria Teresa Punzi & W. Christopher Walker, 2007. "Financing of Global Imbalances," IMF Working Papers 07/177, International Monetary Fund.
  65. Franke, Günter, 1988. "Currency choice for credit contracts and exchange rate regime," Discussion Papers, Series II 62, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  66. Ng, David T., 2004. "The international CAPM when expected returns are time-varying," Journal of International Money and Finance, Elsevier, vol. 23(2), pages 189-230, March.
  67. Floreani, Vincent Arthur & Habib, Maurizio Michael, 2015. "Financial exposure to the euro area before and after the crisis: home bias and institutions at home," Working Paper Series 1799, European Central Bank.
  68. Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2007. "Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach," CFS Working Paper Series 2008/27, Center for Financial Studies (CFS).
  69. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g81klb0rk is not listed on IDEAS
  70. Francesca Carrieri & Vihang Errunza & Sergei Sarkissian, 2004. "Industry Risk and Market Integration," Management Science, INFORMS, vol. 50(2), pages 207-221, February.
  71. Coeurdacier, Nicolas & Guibaud, Stéphane, 2006. "International Portfolio Diversification Is Better Than You Think," ESSEC Working Papers DR 06013, ESSEC Research Center, ESSEC Business School.
  72. 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.
  73. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian T. & Siegel, Stephan, 2016. "Political risk and international valuation," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 1-23.
  74. Hail, Luzi & Leuz, Christian, 2009. "Cost of capital effects and changes in growth expectations around U.S. cross-listings," Journal of Financial Economics, Elsevier, vol. 93(3), pages 428-454, September.
  75. repec:dar:ddpeco:20147 is not listed on IDEAS
  76. José Soares da Fonseca, 2013. "Innovations in return transmission and performance comparison between the five biggest Euro area stock markets," International Economics and Economic Policy, Springer, vol. 10(3), pages 393-404, September.
  77. Chung, Hyunchul & Majerbi, Basma & Rizeanu, Sorin, 2015. "Exchange risk premia and firm characteristics," Emerging Markets Review, Elsevier, vol. 22(C), pages 96-125.
  78. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc.
  79. Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2004. "The performance of international portfolios," International Finance Discussion Papers 817, Board of Governors of the Federal Reserve System (U.S.).
  80. Gajewski, Krzysztof & Olszewski, Krzysztof & Pawłowska, Małgorzata & Rogowski, Wojciech & Tchorek, Grzegorz & Zięba, Jolanta, 2012. "Integracja finansowa w Europie po wprowadzeniu euro. Przegląd literatury
    [Financial integration in Europe after the introduction of the euro. A literature overview]
    ," MPRA Paper 42482, University Library of Munich, Germany.
  81. Rene M. Stulz, 1994. "International Portfolio Choice and Asset Pricing: An Integrative Survey," NBER Working Papers 4645, National Bureau of Economic Research, Inc.
  82. Arouri, Mohamed El Hedi & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2012. "An international CAPM for partially integrated markets: Theory and empirical evidence," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2473-2493.
  83. Haselmann, Rainer & Herwartz, Helmut, 2008. "Portfolio performance and the Euro: Prospects for new potential EMU members," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 314-330, March.
  84. Luo, Yongli & Fang, Fang & Esqueda, Omar A., 2012. "The overseas listing puzzle: Post-IPO performance of Chinese stocks and ADRs in the U.S. market," Journal of Multinational Financial Management, Elsevier, vol. 22(5), pages 193-211.
  85. Martin, V. & Dungey & M., 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Far Eastern Meetings 574, Econometric Society.
  86. Puri, Tribhuvan N., 1996. "Capital flows and net international investment," International Review of Financial Analysis, Elsevier, vol. 5(2), pages 113-130.
  87. Kim, Inbae & Salemi, Michael K., 2000. "Estimation and simulation of risk premia in equity and foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 561-582, August.
  88. Olibe, Kingsley O. & Michello, Franklin A. & Thorne, Jerry, 2008. "Systematic risk and international diversification: An empirical perspective," International Review of Financial Analysis, Elsevier, vol. 17(4), pages 681-698, September.
  89. Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2013. "Equilibrium existence in the international asset and good markets," Working Papers 16, Development and Policies Research Center (DEPOCEN), Vietnam.
  90. Cheol S. Eun & Sandy Lai & Frans A. de Roon & Zhe Zhang, 2010. "International Diversification with Factor Funds," Management Science, INFORMS, vol. 56(9), pages 1500-1518, September.
  91. Fischer Black, 1989. "Equilibrium Exchange Rate Hedging," NBER Working Papers 2947, National Bureau of Economic Research, Inc.
  92. Bruno Solnik, 1991. "Finance Theory and Investment Management," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 127(III), pages 303-324, September.
  93. Lane, Philip R, 2005. "Global Bond Portfolios and EMU," MPRA Paper 654, University Library of Munich, Germany, revised 15 Feb 2006.
  94. Dimson, Elroy & Mussavian, Massoud, 1999. "Three centuries of asset pricing," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1745-1769, December.
  95. José Soares Fonseca, 2006. "The Integration of European Stock Markets and Market Timing," GEMF Working Papers 2006-05, GEMF - Faculdade de Economia, Universidade de Coimbra.
  96. Lim, G.C., 2005. "Currency risk in excess equity returns: a multi time-varying beta approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(3), pages 189-207, July.
  97. 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.
  98. Garg, Reetika & Dua, Pami, 2014. "Foreign Portfolio Investment Flows to India: Determinants and Analysis," World Development, Elsevier, vol. 59(C), pages 16-28.
  99. 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.
  100. Clark, Ephraim & Kassimatis, Konstantinos, 2011. "An alternative measure of the "world market portfolio": Determinants, efficiency, and information content," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 724-748, September.
  101. Bilson, Christopher M. & Brailsford, Timothy J. & Hooper, Vincent C., 2002. "The explanatory power of political risk in emerging markets," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 1-27.
  102. Thapa, Chandra & Poshakwale, Sunil S., 2012. "Country-specific equity market characteristics and foreign equity portfolio allocation," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 189-211.
  103. Abraham Lioui & Patrice Poncet, 2001. "International Asset Allocation: A New Perspective," Working Papers 2001-04, Bar-Ilan University, Department of Economics.
  104. Ansgar Belke & Joscha Beckmann & Michael Kühl, 2010. "Global Integration of Central and Eastern European Financial Markets – The Role of Economic Sentiments," Ruhr Economic Papers 0174, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  105. De Santis, Roberto A. & Gérard, Bruno, 2006. "Financial integration, international portfolio choice and the European Monetary Union," Working Paper Series 0626, European Central Bank.
  106. Zohreh Shirani Fakhr & Seyed Komail Tayebi, 2009. "Determinants of Financial Integration in the East Asia-Pacific Region," Iranian Economic Review, Economics faculty of Tehran university, vol. 14(1), pages 155-173, spring.
  107. Ansgar Belke & Jennifer Schneider, 2013. "Portfolio choice of financial investors and European business cycle convergence: a panel analysis for EU countries," Empirica, Springer, vol. 40(1), pages 175-196, February.
  108. Tai, Chu-Sheng, 2007. "Market integration and currency risk in Asian emerging markets," Research in International Business and Finance, Elsevier, vol. 21(1), pages 98-117, January.
  109. Francis, Bill B. & Hasan, Iftekhar & Hunter, Delroy M., 2008. "Does hedging tell the full story? : Reconciling differences in US aggregate and industry-level exchange rate risk premia," Research Discussion Papers 14/2008, Bank of Finland.
  110. 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.
  111. José Soares Fonseca, 2006. "L’intégration des marchés financiers," GEMF Working Papers 2006-06, GEMF - Faculdade de Economia, Universidade de Coimbra.
  112. Glenn Boyle & Brett Walter, 2003. "Reflected glory and failure: international sporting success and the stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 13(3), pages 225-235.
  113. Martin Evans and Richard K. Lyons, 2002. "Informational Integration and FX Trading," Working Papers gueconwpa~02-02-11, Georgetown University, Department of Economics.
  114. Körner, Finn Marten & Trautwein, Hans-Michael, 2014. "Sovereign credit ratings and the transnationalization of finance: Evidence from a gravity model of portfolio investment," Economics Discussion Papers 2014-31, Kiel Institute for the World Economy (IfW).
  115. Leppin, Julian S. & Reitz, Stefan, 2014. "The role of a changing market environment for credit default swap pricing," Kiel Working Papers 1946, Kiel Institute for the World Economy (IfW).
  116. Burcu Erdogan, 2014. "The Role of Uncertainty Avoidance in Foreign Investment Bias," Research Papers in Economics 2014-15, University of Trier, Department of Economics.
  117. Mondher Bellalah & Shujuan Ding & Zhen Wu, 2012. "Corporate Optimal Investment Under Incomplete Information: A Real Option Method," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 007-014, June.
  118. Chowdhry, Bhagwan & Titman, Sheridan, 1993. "Why Real Interest Rates, Cost of Capital and Price/Earnings Ratios Vary Across Countries," University of California at Los Angeles, Anderson Graduate School of Management qt93k425dd, Anderson Graduate School of Management, UCLA.
  119. Juan Pedro Gomez, 2005. "An International Capm With Consumption Externalities And Non-Financial Wealth," Working Papers Economia wp05-08, Instituto de Empresa, Area of Economic Environment.
  120. Tai, Chu-Sheng, 2001. "A multivariate GARCH in mean approach to testing uncovered interest parity: evidence from Asia-Pacific foreign exchange markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(4), pages 441-460.
  121. Lau, Sie Ting & Ng, Lilian & Zhang, Bohui, 2010. "The world price of home bias," Journal of Financial Economics, Elsevier, vol. 97(2), pages 191-217, August.
  122. Walid Chkili, 2012. "Is currency risk priced for emerging stock markets?," Economics Bulletin, AccessEcon, vol. 32(3), pages 2267-2280.
  123. De Santis, Roberto A. & Sarno, Lucio, 2008. "Assessing the benefits of international portfolio diversification in bonds and stocks," Working Paper Series 0883, European Central Bank.
  124. Robert Vermeulen, 2011. "International Diversification During the Financial Crisis: A Blessing for Equity Investors?," DNB Working Papers 324, Netherlands Central Bank, Research Department.
  125. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2012. "Purchasing Power Parity between the UK and the Euro Area," Working papers 2012-46, University of Connecticut, Department of Economics.
  126. Ostdiek, Barbara, 1998. "The world ex ante risk premium: an empirical investigation," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 967-999, December.
  127. Suleyman Basak & Michael Gallmeyer, 1999. "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 1-30.
  128. Bartram, Sohnke M. & Taylor, Stephen J. & Wang, Yaw-Huei, 2007. "The Euro and European financial market dependence," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1461-1481, May.
  129. 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.
  130. 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.
  131. Daly, Kevin & Vo, Xuan Vinh, 2013. "The determinants of home bias puzzle in equity portfolio investment in Australia," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 34-42.
  132. Berger, Allen N. & El Ghoul, Sadok & Guedhami , Omrane & Roman, Raluca, 2015. "Internationalization and bank risk," Research Working Paper RWP 15-8, Federal Reserve Bank of Kansas City.
  133. Michenaud, Sébastien & Solnik, Bruno, 2008. "Applying regret theory to investment choices: Currency hedging decisions," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 677-694, September.
  134. repec:ebl:ecbull:v:6:y:2004:i:3:p:1-13 is not listed on IDEAS
  135. Zhang, Xiaoyan, 2006. "Specification tests of international asset pricing models," Journal of International Money and Finance, Elsevier, vol. 25(2), pages 275-307, March.
  136. Charles P. Thomas, 2006. "The Performance of International Equity Portfolios," The Institute for International Integration Studies Discussion Paper Series iiisdp162, IIIS.
  137. repec:hal:wpaper:hal-00965063 is not listed on IDEAS
  138. repec:dau:papers:123456789/7858 is not listed on IDEAS
  139. Rustem, Berc, 1995. "Computing optimal multi-currency mean-variance portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 901-908.
  140. Charles Engel, 1993. "Tests of CAPM on an International Portfolio of Bonds and Stocks," NBER Working Papers 4598, National Bureau of Economic Research, Inc.
  141. Hui Guo & Christopher J. Neely & Jason Higbee, 2006. "Foreign exchange volatility is priced in equities," Working Papers 2004-029, Federal Reserve Bank of St. Louis.
  142. Ines Chaieb & Vihang Errunza & Basma Majerbi, 2013. "Do emerging markets provide currency diversification benefits?," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 5(1/2), pages 102-120.
  143. repec:hal:journl:halshs-00523364 is not listed on IDEAS
  144. Chowdhry, Bhagwan & Titman, Sheridan, 2001. "Why real interest rates, cost of capital and price/earnings ratios vary across countries," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 165-189, April.
  145. José Soares da Fonseca, 2014. "Linkages and Performance Comparison among Eastern Europe Stock Markets," Notas Económicas, Faculdade de Economia, Universidade de Coimbra, issue 39, pages 73-83, June.
  146. Richard K. Lyons, 1986. "Tests of the foreign exchange risk premium using the expected second moments implied by option pricing," International Finance Discussion Papers 290, Board of Governors of the Federal Reserve System (U.S.).
  147. Angeles Fernandez-Izquierdo & Juan Matallin-Saez, 2008. "Performance of Ethical Mutual Funds in Spain: Sacrifice or Premium?," Journal of Business Ethics, Springer, vol. 81(2), pages 247-260, August.
  148. Chay, J. B. & Eleswarapu, Venkat R., 2001. "Deregulation and capital market integration: A study of the New Zealand stock market," Pacific-Basin Finance Journal, Elsevier, vol. 9(1), pages 29-46, January.
  149. Ivaschenko, Iryna V., 2004. "Coping with financial spillovers from the United States: the effect of US corporate scandals on Canadian stock prices," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 407-424.
  150. Charles Yuji Horioka & Akiko Terada-Hagiwara & Takaaki Nomoto, 2015. "Explaining Foreign Holdings of Asia's Debt Securities: The Feldstein-Horioka Paradox Revisited," ISER Discussion Paper 0950, Institute of Social and Economic Research, Osaka University.
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