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On the performance of timberland as an alternative asset
Mei, Bin - In: Journal of forest economics : JFE 37 (2022) 2, pp. 169-184
Persistent link: https://www.econbiz.de/10013345762
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Evaluating international consumption risk sharing gains : an asset return view
Lewis, Karen K.; Liu, Edith X. - In: Journal of monetary economics 71 (2015), pp. 84-98
Persistent link: https://www.econbiz.de/10011381612
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International financial market’s integration and modelling returns of risky assets
Hassene, Ben Mbarek - 2011
The aim of this paper is to test the ability of conditional and unconditional CAPM models to explain emerging markets … conditional CAPM) has lower predictive power for emerging markets than for developed markets. Finally, following the financial … ; unconditional CAPM ; conditional APT ; returns …
Persistent link: https://www.econbiz.de/10009711626
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International capital flows, returns and world financial integration
Evans, Martin D. D.; Hnatkovska, Viktoria - In: Journal of international economics 92 (2014) 1, pp. 14-33
Persistent link: https://www.econbiz.de/10010438457
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A dynamic equilibrium model of imperfectly integrated financial markets
Bhamra, Harjoat Singh; Coeurdacier, Nicolas; Guibaud, … - In: Journal of economic theory 154 (2014), pp. 490-542
Persistent link: https://www.econbiz.de/10010481321
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European sector returns and capital market integration
Oh, Yonghyup - In: Review of international economics 11 (2003) 3, pp. 527-540
Persistent link: https://www.econbiz.de/10001777323
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Test of capital market integration using Fama-French three-factor model : empirical evidence from India
Sehrawat, Neeraj; Kumar, Amit; Nigam, Narander Kumar; … - In: Investment management and financial innovations 17 (2020) 2, pp. 113-127
Persistent link: https://www.econbiz.de/10012303099
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Investor Attention to News on Financial Integration and Currency Returns
Filippou, Ilias; T. Nguyen, My; Taylor, Mark P. - 2023
In this paper, we examine the economic value of a text-based measure of financial integration. Our attention measure of financial integration is a strong positive predictor of currency excess returns. Specifically, the financial integration measure is positively priced in the cross-section of...
Persistent link: https://www.econbiz.de/10014254455
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Does financial integration impact performance of equity anomalies?
Sharma, Gagan; Sehgal, Sanjay; Mishra, Anil V. - In: Cogent economics & finance 10 (2022) 1, pp. 1-51
pricing model (CAPM) and Fama and French three-factor model in explaining returns. International factors augment the role of …
Persistent link: https://www.econbiz.de/10013391096
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Cross-Section of asset returns : emerging markets and market integration
Ajrapetova, Tamara - In: European financial and accounting journal : EFAJ 13 (2018) 1, pp. 41-60
the Capital Asset Pricing Model (CAPM), mainly due to their attractive simplicity. This article focuses on the risk … systematic risk measures, downside beta proved its superiority to traditional CAPM beta. The results can be attributed to delayed …
Persistent link: https://www.econbiz.de/10011887581