international equity transactions that accentuate the role of international risk sharing as a factor for the macroeconomic response … shock affecting only one country. Efficient global risk-sharing imply that expected productivity gains in one country will … for the productivity gains can further increase the risk exposure of foreign shareholders. The model is calibrated to show …

affect most assets - hence it qualifies as a state variable in the senseof the ICAPM and should carry a risk premium. We … Statesof America. Through Fama-Macbeth regressions we find a significant risk premium whichincreases in bad economic times when …

This study analyses the risk dependence of international stock portfolio based on three risk metrics, namely, the …

6-factors APT model, in which an additional risk factor for foreign portfolio capital flows was included. First, in an … activity, level of risk and level of corporate governance, foreign portfolio capitals caused increases in returns especially … for sectors related to commodities, industry and cyclical consumption. For the portfolios sorted by risk (in which the …

crises. This study measured the effect of foreign capital flows on volatility and exposure to world market risk in the six … 2008's World financial crisis. This will test whether these flows cause instability for those markets and increase their …, both univariate (ARCH-GARCH) and multivariate (VAR), are used to estimate the effect foreign portfolio flows on the risk …