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This is the first paper to explore the effects of perceived corruption on the FX market. It finds that the currencies … of countries perceived to suffer from high levels of corruption generate statistically significantly lower returns than … the currencies of countries perceived to have low levels of corruption. Moreover, the portfolio spread is highly …
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In this paper we examine risk-return trade-off of investing in Latin American emerging stock markets. In particular, the study seeks to examine whether equities from Latin American emerging markets might have offered the Canadian investor high returns for a relatively low level of risk when...
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I establish that inflation risk is priced in the cross section of stock returns: Stocks that have low returns during inflationary times command a risk premium. I estimate a market price of inflation risk that is comparable in magnitude to the price of risk for the aggregate market. Inflation is...
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