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Citations for "Global Financial Markets and the Risk Premium on U.S. Equity"

by K.C. Chan & G. Andrew Karolyi & Rene M. Stulz

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  1. Olan T. Henry & Nilss Olekalns & Kalvinder Shields, 2004. "Time Variation And Asymmetry In The World Price Of Covariance Risk: The Implications For International Diversification," Department of Economics - Working Papers Series 907, The University of Melbourne.
  2. Gino Cenedese & Lucio Sarno & Ilias Tsiakas, 2014. "Foreign Exchange Risk and the Predictability of Carry Trade Returns," Working Paper Series 02_14, The Rimini Centre for Economic Analysis.
  3. Alberola, Ricardo, 2007. "Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market," REVISTA LECTURAS DE ECONOMÍA, UNIVERSIDAD DE ANTIOQUIA - CIE, pages -, May.
  4. John Cotter & Stuart Gabriel & Richard Roll, 2015. "Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust," Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 913-936.
  5. Balaban, Ercan & Ozgen, Tolga, 2016. "Trading session effects on stock returns and their conditional volatility: Firm-level evidence from a European Union accession country," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 264-271.
  6. Mika Vaihekoski, 2007. "Global Market and Currency Risk in Finnish Stock Market," Finnish Economic Papers, Finnish Economic Association, vol. 20(1), pages 72-88, Spring.
  7. Saleem, Kashif & Vaihekoski, Mika, 2008. "Pricing of global and local sources of risk in Russian stock market," Emerging Markets Review, Elsevier, vol. 9(1), pages 40-56, March.
  8. Marie-Claude Beaulieu & Lynda Khalaf & Marie-Hélène Gagnon, 2006. "Testing Financial Integration: Finite Sample Motivated Mothods," Computing in Economics and Finance 2006 233, Society for Computational Economics.
  9. Griffin, John M. & Andrew Karolyi, G., 1998. "Another look at the role of the industrial structure of markets for international diversification strategies," Journal of Financial Economics, Elsevier, vol. 50(3), pages 351-373, December.
  10. Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), 2005. "International Capital Flows, Returns and World Financial Integration," Working Papers gueconwpa~05-05-17, Georgetown University, Department of Economics.
  11. Jiang, Xiaoquan & Lee, Bong-Soo, 2014. "The intertemporal risk-return relation: A bivariate model approach," Journal of Financial Markets, Elsevier, vol. 18(C), pages 158-181.
  12. Lee, Bong-Soo & Rui, Oliver M., 2002. "The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 51-78, January.
  13. Dutta, Shantanu & Essaddam, Naceur & Kumar, Vinod & Saadi, Samir, 2017. "How does electronic trading affect efficiency of stock market and conditional volatility? Evidence from Toronto Stock Exchange," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 867-877.
  14. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
  15. Gonzalez-Rivera, Gloria, 1996. "Time-varying risk The case of the American computer industry," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 333-342, February.
  16. Stephen R. Foerster & G. Andrew Karolyi, "undated". "The Effects of Market Segmentation and Illiquidity on Asset Prices: Evidence from Foreign Stocks Listing in the US," Research in Financial Economics 9606, Ohio State University.
  17. John Cotter & Stuart Gabriel & Richard Roll, 2016. "Nowhere to run, nowhere to hide: asset diversification in a flat world," Working Papers 201612, Geary Institute, University College Dublin.
  18. Kundu, Srikanta & Sarkar, Nityananda, 2016. "Return and volatility interdependences in up and down markets across developed and emerging countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 297-311.
  19. 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.
  20. 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.
  21. Wang, Steven Shuye & Meng Rui, Oliver & Firth, Michael, 2002. "Return and volatility behavior of dually-traded stocks: the case of Hong Kong," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 265-293, April.
  22. Linda L. Tesar & Rene M. Stulz & Stephen Friedman & George N. Hatsopoulos, 1999. "The Role of Equity Markets in International Capital Flows," NBER Chapters, in: International Capital Flows, pages 235-306 National Bureau of Economic Research, Inc.
  23. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc.
  24. Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers.
  25. Martin Evans and Richard K. Lyons, 2002. "Informational Integration and FX Trading," Working Papers gueconwpa~02-02-11, Georgetown University, Department of Economics.
  26. Winston Moore, 2014. "Managing The Process Of Removing Capital Controls: What Does The Literature Suggest?," Journal of Economic Surveys, Wiley Blackwell, vol. 28(2), pages 209-237, 04.
  27. Farooq Malik, 2015. "Revisiting the relationship between risk and return," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 25-40, January.
  28. Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," Koç University-TUSIAD Economic Research Forum Working Papers 0909, Koc University-TUSIAD Economic Research Forum, revised Nov 2009.
  29. Saleem, Kashif & Vaihekoski, Mika, 2007. "Time-varying global and local sources of risk in Russian stock market," MPRA Paper 5787, University Library of Munich, Germany.
  30. Ram Bhar & Carl Chiarella & Wolfgang Runggaldier, 2001. "Filtering Equity Risk Premia From Derivative Prices," Research Paper Series 69, Quantitative Finance Research Centre, University of Technology, Sydney.
  31. Ricardo Alverola, 2007. "Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 66, pages 251-276, Enero-Jun.
  32. G. Andrew Karoly & Rene Stulz, "undated". "Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements," Research in Financial Economics 9603, Ohio State University.
  33. Madura, Jeff & Ngo, Thanh & Viale, Ariel M., 2011. "Convergent synergies in the global market for corporate control," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2468-2478, September.
  34. Yeliz Yalcin & Eray M. Yycel, 2006. "The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(5-6), pages 258-277, May.
  35. Karolyi, G. Andrew & Stulz, Rene M., 2003. "Are financial assets priced locally or globally?," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 16, pages 975-1020 Elsevier.
  36. Dumas, Bernard & Solnik, Bruno, 1995. " The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-479, June.
  37. 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.
  38. Gagnon, Louis & Karolyi, G. Andrew, 2006. "Price and Volatility Transmission across Borders," Working Paper Series 2006-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  39. David G. Barr & Richard Priestley, "undated". "Expected Returns, Risk, and the Integration of International Bond Markets," Economics and Finance Discussion Papers 97-01, Economics and Finance Section, School of Social Sciences, Brunel University.
  40. Chiang, Thomas C. & Li, Huimin & Zheng, Dazhi, 2015. "The intertemporal risk-return relationship: Evidence from international markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 156-180.
  41. Krapl, Alain & Giaccotto, Carmelo, 2015. "Foreign exchange risk and the term-structure of industry costs of equity," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 71-88.
  42. Marcelle Chauvet & Simon M. Potter, 1999. "Nonlinear risk," Staff Reports 61, Federal Reserve Bank of New York.
  43. Rene M. Stulz, 1994. "International Portfolio Choice and Asset Pricing: An Integrative Survey," NBER Working Papers 4645, National Bureau of Economic Research, Inc.
  44. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society.
  45. Li, Yuming, 1998. "Expected stock returns, risk premiums and volatilities of economic factors1," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 69-97, June.
  46. Chang, Sanders S., 2013. "Can cross-country portfolio rebalancing give rise to forward bias in FX markets?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1079-1096.
  47. Lubos Pastor & Meenakshi Sinha & Bhaskaran Swaminathan, 2006. "Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital," NBER Working Papers 11941, National Bureau of Economic Research, Inc.
  48. Paul Harrison & Harold H. Zhang, "undated". "Cyclical Variation in the Risk and Return Relation," Computing in Economics and Finance 1997 175, Society for Computational Economics.
  49. Ram Bhar & Carl Chiarella, 2000. "Infering Forward Looking Financial Market Risk Premia from Derivatives Prices," Research Paper Series 42, Quantitative Finance Research Centre, University of Technology, Sydney.
  50. Bali, Turan G., 2008. "The intertemporal relation between expected returns and risk," Journal of Financial Economics, Elsevier, vol. 87(1), pages 101-131, January.
  51. Carrieri, Francesca & Errunza, Vihang & Sarkissian, Sergei, 2006. "The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?," Working Papers 06-4, University of Pennsylvania, Wharton School, Weiss Center.
  52. Lubos Pastor & Robert F. Stambaugh, 2000. "The Equity Premium and Structural Breaks," NBER Working Papers 7778, National Bureau of Economic Research, Inc.
  53. Nilsson, Birger, 2002. "International Asset Pricing and the Benefits from World Market Diversification," Working Papers 2002:1, Lund University, Department of Economics.
  54. John Ammer, 1996. "Macroeconomic state variables as determinants of asset price covariances," International Finance Discussion Papers 553, Board of Governors of the Federal Reserve System (U.S.).
  55. Darrat, Ali F. & Gilley, Otis W. & Li, Bin & Wu, Yanhui, 2011. "Revisiting the risk/return relations in the Asian Pacific markets: New evidence from alternative models," Journal of Business Research, Elsevier, vol. 64(2), pages 199-206, February.
  56. Harvey, Campbell R., 2001. "The specification of conditional expectations," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 573-637, December.
  57. Geert Bekaert & Campbell R. Harvey & Angela Ng, 2005. "Market Integration and Contagion," The Journal of Business, University of Chicago Press, vol. 78(1), pages 39-70, January.
  58. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers 2004s-24, CIRANO.
  59. Bakshi, Gurdip S. & Chen, Zhiwu & Naka, Atsuyuki, 1995. "Production-based asset pricing in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 217-240, July.
  60. Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003. "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers 694, Department of Economics and Business, Universitat Pompeu Fabra.
  61. Ragunathan, Vanitha, 1999. "Financial deregulation and integration: an Australian perspective1," Journal of Economics and Business, Elsevier, vol. 51(6), pages 505-514.
  62. Huang, Wei, 2007. "Financial integration and the price of world covariance risk: Large- vs. small-cap stocks," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1311-1337, December.
  63. Goyenko, Ruslan & Sarkissian, Sergei, 2010. "Flight to Liquidity and Global Equity Returns," MPRA Paper 27546, University Library of Munich, Germany.
  64. Patel, Ajay & Shoesmith, Gary L., 2004. "Term structure linkages surrounding the Plaza and Louvre accords: Evidence from Euro-rates and long-memory components," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2051-2075, September.
  65. Nicholas Tay & Zhen Zhu, 2000. "Correlations in Returns and Volatilities in Pacific-Rim Stock Markets," Open Economies Review, Springer, vol. 11(1), pages 27-47, January.
  66. Bali, Turan G. & Wu, Liuren, 2010. "The role of exchange rates in intertemporal risk-return relations," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1670-1686, December.
  67. 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.
  68. Poon, Winnie P. H. & Fung, Hung-Gay, 2000. "Red chips or H shares: which China-backed securities process information the fastest?," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 315-343, December.
  69. Francesca Carrieri & Vihang Errunza & Sergei Sarkissian, 2004. "Industry Risk and Market Integration," Management Science, INFORMS, vol. 50(2), pages 207-221, February.
  70. Kanokwan Chancharoenchai & Sel Dibooglu, 2006. "Volatility Spillovers and Contagion During the Asian Crisis: Evidence from Six Southeast Asian Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 42(2), pages 4-17, April.
  71. 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.
  72. Bong-Chan, Kho, 1996. "Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets," Journal of Financial Economics, Elsevier, vol. 41(2), pages 249-290, June.
  73. Ali F. Darrat & Bin Li & Omar Benkato, 2011. "The Relationship between Volatility and Expected Returns: Some Evidence for Australia," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 10(1), pages 27-43, April.
  74. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April.
  75. Ito, Akitoshi, 1999. "Profits on technical trading rules and time-varying expected returns: evidence from Pacific-Basin equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 283-330, August.
  76. Patro, Dilip K. & Wald, John K. & Wu, Yangru, 2002. "Explaining exchange rate risk in world stock markets: A panel approach," Journal of Banking & Finance, Elsevier, vol. 26(10), pages 1951-1972, October.
  77. Lee, Kuan-Hui, 2011. "The world price of liquidity risk," Journal of Financial Economics, Elsevier, vol. 99(1), pages 136-161, January.
  78. Ólan T. Henry & Nilss Olekalns & Kalvinder K. Shields, 2013. "Quantifying time variation and asymmetry in measures of covariance risk: a simulation approach," Chapters, in: Handbook of Research Methods and Applications in Empirical Finance, chapter 18, pages 457-476 Edward Elgar Publishing.
  79. Mohanty, Roshni & P, Srinivasan, 2014. "The Time-Varying Risk and Return Trade Off in Indian Stock Markets," MPRA Paper 55660, University Library of Munich, Germany.
  80. Whitelaw, Robert F, 1994. " Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns," Journal of Finance, American Finance Association, vol. 49(2), pages 515-541, June.
  81. Lizardo Radhames A. & Mollick Andre Varella, 2011. "The Impact of Chinese Purchases of U.S. Government Debt on the Treasury Yield Curve," Global Economy Journal, De Gruyter, vol. 11(4), pages 1-23, December.
  82. De Santis, Giorgio & Gerard, Bruno, 1998. "How big is the premium for currency risk?," Journal of Financial Economics, Elsevier, vol. 49(3), pages 375-412, September.
  83. Campbell R. Harvey & Guofu Zhou, 1993. "International asset pricing with alternative distributional specifications," CEMA Working Papers 277, China Economics and Management Academy, Central University of Finance and Economics.
  84. Nicholas Apergis & Sophia Eleptheriou, 2001. "Stock returns and volatility: Evidence from the Athens Stock market index," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(1), pages 50-61, March.
  85. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
  86. G. Andrew Karolyi & Rene Stulz, "undated". "Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements using ADRS," Research in Financial Economics 9501, Ohio State University.
  87. Fang, Hsing & Loo, Jean C. H., 2002. "Pricing of American Depositary Receipts under Market Segmentation," Global Finance Journal, Elsevier, vol. 13(2), pages 237-252.
  88. Gagnon, Louis & Karolyi, G. Andrew, 2007. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Working Paper Series 2006-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  89. 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.
  90. Tai, Chu-Sheng, 1999. "Time-varying risk premia in foreign exchange and equity markets: evidence from Asia-Pacific countries," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 291-316, November.
  91. Li, Yuming & Zhong, Maosen, 2005. "Consumption habit and international stock returns," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 579-601, March.
  92. Hsin, Chin-Wen & Tseng, Po-Wen, 2012. "Stock price synchronicities and speculative trading in emerging markets," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 82-109.
  93. 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.
  94. Lehkonen, Heikki & Heimonen, Kari, 2014. "Timescale-dependent stock market comovement: BRICs vs. developed markets," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 90-103.
  95. Tai, Chu-Sheng, 2004. "Can bank be a source of contagion during the 1997 Asian crisis?," Journal of Banking & Finance, Elsevier, vol. 28(2), pages 399-421, February.
  96. Carlos Enrique Carrasco-Gutierrez & Wagner Piazza Gaglianone, 2012. "Evaluating Asset Pricing Models in a Simulated Multifactor Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(4), pages 425-460.
  97. Mo, Henry & Wu, Liuren, 2007. "International capital asset pricing: Evidence from options," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 465-498, September.
  98. Leachman, Lori L. & Francis, Bill, 1995. "Long-run relations among the G-5 and G-7 equity markets: Evidence on the Plaza and Louvre Accords," Journal of Macroeconomics, Elsevier, vol. 17(4), pages 551-577.
  99. 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.
  100. Rene M. Stulz, 1999. "Globalization of Equity Markets and the Cost of Capital," NBER Working Papers 7021, National Bureau of Economic Research, Inc.
  101. Liang, Youguo & Mougoue', Mbodja, 1996. "The pricing of foreign exchange risk: Evidence from ADRS," International Review of Economics & Finance, Elsevier, vol. 5(4), pages 377-385.
  102. Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, vol. 12(4), pages 363-380.
  103. Giorgio De Santis & Bruno Gerard, 1995. "Time-varying risk and international portfolio diversification with contagious bear markets," Discussion Paper / Institute for Empirical Macroeconomics 99, Federal Reserve Bank of Minneapolis.
  104. Nitschka, Thomas, 2014. "Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 76-82.
  105. Francis, Bill B. & Leachman, Lori L., 1998. "Superexogeneity and the dynamic linkages among international equity markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 475-492, June.
  106. 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.
  107. Zapatero, Fernando & Gómez, Juan Pedro, 1997. "The role of institutional investors in international trading: an explanation of the home bias puzzle," DEE - Working Papers. Business Economics. WB 7034, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  108. Bae, Kee-Hong, 1995. "Market segmentation and time variation in the price of risk: Evidence on the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 1-29, May.
  109. Alaganar, V.T. & Bhar, Ramaprasad, 2007. "Empirical properties of currency risk in country index portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(1), pages 159-174, March.
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