This paper conducts empirical tests in a conditional setting for 10 developed and 12 emerging markets to determine whether emerging market currency risk is priced and if it spills over into developed market assets. Our empirical model is based on real exchange rate measures and it allows...

International asset pricing models suggest that barriers to portfolio flows and availability of market substitutes affect the degree and time variation of world market integration. We use GARCH-in-mean methodology to assess the evolution in market integration for eight emerging markets over the...

While theoretical models predict a decrease in the cost of capital from depositary receipt offerings, the economic benefits of this liberalization have been difficult to quantify, Using a sample of 126 firms from 32 countries, we document a significant decline of 42% in the cost of capital. In...