do explain this difference. The systematic component of returns variation is large in emerging markets, and appears …-specific returns variation is associated with stronger public investor property rights. We propose that strong property rights promote …

interventions, and stock market volatility, drawing upon an extended time period of one year, to independently test, confirm and … differences and similarities utilizing an asymmetric measure of volatility. We find that there are major differences between these …

evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns … describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical …

; quality of accounting system in relation to capital market volatility and future developments. The author develops a framework …

of predicting monthly returns in developed markets. Effective international diversification is possible as long-term co …-movements among markets are not observed. However, co-movements are observed in monthly returns of U.S.A, Japan and U.K. thus …, enabling an investor to predict monthly returns in these markets. Overall results show that prediction of asset returns in …

We examine whether consumer confidence - as a proxy for individual investor sentiment - affects expected stock returns … aggregate stock market returns on average across countries. When sentiment is high, future stock returns tend to be lower and … vice versa. This relation also holds for returns of value stocks, growth stocks, small stocks, and for different …