find that increases in equity flows are associated with a lower cost of capital, higher correlation with world market …

Measuring the integration of world capital markets is notoriously difficult. For example, regulatory changes which … equity market becomes financially integrated with world capital markets. We find endogenous break dates that are very … markets are on average larger and more liquid than before; returns are more volatile and more highly correlated with the world …

. We apply this model to stock returns in three different regions: Europe, South-East Asia, and Latin America. In addition … to providing new insights on contagion during crisis periods, we document patterns through time in world and regional …

expected return on the world market portfolio. However, the inclusion of this premium alone is not sufficient to explain the …

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 …

The emergence of new equity markets in Europe, Latin America, Asia, the Mideast and Africa provides a new menu of … correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor …

-switching model, allows us to describe expected returns in countries that are segmented from world capital markets in one part of the …