Tai, Chu-Sheng - In: Managerial Finance 44 (2018) 12, pp. 1434-1445
Purpose: The purpose of this paper is to provide empirical evidence on how 1999–2001 dot-com crisis and 2007–2009 subprime crisis affect the gains from international diversification from the perspective of US investors. Design/methodology/approach: A conditional international CAPM with...