This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic … risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk …, stacked time-series, and pooled panel regressions indicate that the world market risk is not, but country-specific total and …

This paper investigates the predictability of variance and value at-risk (VaR) measures in international stock markets … determine the persistency of these risk measures. We find that for all G7 countries considered in the paper persistency in …

This paper examines derivatives use of foreign exchange, interest rate and commodities risk by non-financial firms … across multiple industries, using data from 1995 to 2001. This paper considers the interaction of a firm's risk exposures …. Hedging with derivatives is only significantly related to commodity risk exposure during most years of the study, and to a …