unconditional mean- variance efficiency of a world market portfolio, our evidence indicates that the tests are low in power, and the … world market betas do not provide a good explanation of cross-sectional differences in average returns. Multiple beta models …

correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor …

This paper tests if real and financial linkages between countries can explain why movements in the world's largest … between the world's 5 largest economies and about 40 other markets to decompose the cross-country factor loadings into: direct … trade flows, competition in third markets, bank lending, and foreign direct investment. Estimates suggest that both cross …

We analyze cross-sectional and time series information from forty-seven equity markets around the world, to consider …

We study the crash of bank stock prices during the COVID-19 pandemic. We find evidence consistent with a "credit line …, even after policy measures were implemented. We conclude that bank provision of credit lines appears akin to writing deep … can be incorporated tractably into bank capital stress tests …