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

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 …

others argue that the measures are proxies for exposure to underlying economic risk factors. It is not possible to … distinguish between these views without explicitly modeling the relation between such attributes and risk factors. We present an … traditional academic and practitioner viewpoints on lagged attributes. We present new evidence on the relative importance of risk …

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

number of innovations. By using the latent factor technique, we do not have to prespecify the sources of risk. We solve for … expected return on the world market portfolio. However, the inclusion of this premium alone is not sufficient to explain the … conditional variation in the returns. We find evidence of a second factor premium which is related to foreign exchange risk. Our …

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 …