We study the interrelationship between capital flows, returns, dividend yields and world interest rates in 20 emerging …

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 …

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

abandon the expected-utility hypothesis in favor of preferences that exhibit first-order risk aversion. We incorporate these … increasing the degree of first-order risk aversion substantially increases excess return predictability, the model remains … patterns of excess return predictability are unlikely to be explained purely by time-varying risk premiums generated by highly …

understanding of currency carry trade returns, and invalidates, for example, explanations invoking return skewness and crash risk …

additional factors, a commodity currency factor and a "world" factor based on trading volumes, fits currency basket correlations …

, inflation, the output gap, and cash flow growth. We also view risk aversion, uncertainty about inflation and output, and …

We propose a new, valuation-based measure of world equity market segmentation. While we observe decreased levels of … identify a country's political risk profile and its stock market development as two additional local segmentation factors as …