We find contagion effects are present in US small size portfolios during emerging market crises due to risk and liquidity concerns. Investors display flight from risk during emerging market crises, and as a result, safer larger stocks exhibit positive abnormal returns. We find little evidence of...

The Capital Asset Pricing Model (CAPM) describes a relationship between risk and expected forward-looking returns. Existing research tests the model using realized returns as the proxy for exante expectations. However, recent studies cast doubt on the ability of expost observed returns to proxy...

<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>We adopt realized covariances to estimate the coefficient of risk aversion across portfolios and through time. Our approach yields second moments that are free from measurement error and not influenced by a specified model for expected returns. Supporting the permanent income hypothesis,...

Conditional asset pricing models within the risk-return literature describe a relation between expected risk and return for period t + 1, with expectations formed during period t. Existing risk estimates in the literature are formed using backward looking measures during period t, which are...

We extend the Pukthuanthong and Roll (2009) measure of integration to provide an estimate of systemic risk within international equity markets. Our measure indicates an increasing likelihood of market crashes. The conditional probability of market crashes increases substantially following...

This study identifies periods of turbulence within financial markets. Capital Asset Pricing Model (CAPM) betas estimated during tranquil periods exhibit little relation between estimated risk and average returns, and further, a majority of considered portfolios exhibit significant abnormal...

Economists have long recognized the importance of information veracity in valuing risky securities. Market participants concerned about the credibility of information measures may require additional compensation to entice them to hold stocks with less transparent information. These same...

We provide an analysis of frontier market equities with respect to world market integration and diversification. Principal component results reveal that frontier markets exhibit low levels of integration. In contrast with developed and emerging markets, frontier markets offer no indication of...