this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity … returns for 26 countries (18 developed and 8 emerging markets) between July 1996 and June 2011 and adopting the US investor … returns. Next, we test the degree of market integration in the light of the ICAPM. The results of this test indicate that …

We investigate the relation between downside beta and stock returns in a global context using more than 170 million … the cross-sectional differences in future and contemporaneous returns in an international setting. The results are robust … cited finding on the relation between downside beta and equity returns …

international markets that are compatible with the PSM model and some international studies addressing returns that are unhedged … unhedged returns in up-market months. A main business implication of the findings follows: international equity market …