Potential benefits from international diversification depend upon the stability in stock market relationships. Using monthly data of 11 international stock markets, this paper examines the stability in stock market relationships across month of the year and across different holding intervals....

Standard textbooks of Investment/Financial Management teach that although portfolio diversification can help reduce investment risk without sacrificing the expected rate of return, the benefit of diversification is exhausted with a portfolio size of 10-15. Since by then, most of the...

This paper examines the relation between beta and realized returns in the Korean and Taiwan stock markets. Traditional tests found that beta is unable to explain the realized returns in both markets. Though unsystematic risk, total risk, skewness and kurtosis are significantly related to returns...

This study provides evidence of the conditional effect on market beta, firm size, book-to-market equity ratio (B/M), and earnings-to-price ratio (E/P) to the cross-section of monthly portfolio excess returns in two Asian emerging stock markets: Malaysia and Thailand. Beta may not be a suitable...

Using a direct test on the equality of correlation matrices of 12 international stock markets, this paper examines the intertemporal stability in stock market co-movements. Contrary to previous findings, our empirical results show that for both domestic currency and US$-based returns, the...

The risk-return relationship is one of the fundamental concepts in finance that is most important to investors and portfolio managers. Finance theory argues that the beta or systematic risk is the only relevant risk measure for investors. However, many studies have showed that betas and returns...