We employ government bond portfolios from 17 countries in order to investigate the short-run reaction of investors to price shocks. Our findings indicate a uniform return reversal pattern across countries, that persists irrespective of various robustness tests such as different datasets...

We examine short-term investor reaction to extreme events in the UK equity market for the period 1989 to 2004 and find that the market reaction to shocks for large capitalization stock portfolios is consistent with the Efficient Market Hypothesis, i.e. all information appears to be incorporated...

We use securities listed on 13 European equity markets to form size and momentum portfolios. We find limited evidence of a size premium but significant momentum returns in eight sample markets. We find that these premia may not constitute an anomaly because they are consistent with a...

This paper empirically investigates the relationship between equity and credit market development and economic growth, in a sample of five very important 'emerging' markets. In particular, employing a multivariate time-series methodology to test for long-run trends and causality between...

On face value studies documenting contrarian profits challenge the efficient markets paradigm. However most of them assume that systematic risk is constant when in reality it varies (Ross, 1989) especially in emerging markets (Aggarwal et al., 1999). The study in the first instance investigates...

This paper uses the concept of Marginal Conditional Stochastic Dominance and a generalization of the 50% Portfolio Rule to develop a tractable and parsimonious methodology for constructing a second degree Stochastic Dominance (SSD) efficient portfolio from a given, inefficient index. Because the...

In this paper we use the structural credit risk methodology of Merton (1974) to estimate country default risk as the country financial risk premium for eight of the largest Latin American economies - Argentina, Bolivia, Brazil, Chile, Colombia, Mexico, Peru and Venezuela - from 1986 to 2000. We...

The world market portfolio plays an important role in international asset pricing, but is unobservable in practice. We first propose a framework for constructing a market proxy that corresponds to the "market portfolio" of financial theory. We then construct this proxy, analyze its determinants...

This study empirically investigates whether stock market volatility increased following financial liberalization, in six 'emerging' markets. The sample countries are Argentina, India, Pakistan, Philippines, South Korea and Taiwan. To examine the issue, the news impact curves are utilized which...