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stock market data is available for the period 1990-2010. The estimation technique used is a Two-Stage-Least Squares … Instrumental Variable methodology. Political regime channels of democracy, polity and autocracy are instrumented with legal …
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The paper explores the role of the political regime on asset returns in an International Capital Asset Pricing Model (CAPM) framework based on a sample of 17 emerging countries. The results reveal that the political regime has substantial impact on average stock returns. Firms in autocratic...
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