daily return observations. Contrary to the findings in the U.S. equity market, we show that downside beta does not explain … cited finding on the relation between downside beta and equity returns …

losers helps to ex ante separate stocks with momentum from those that exhibit reversal in international equity markets. A …

countries with such cultural features. Once the researchers control for cultural dimensions, proxies associated with the q-theory …

Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find …

suggest that there is a significant effect of COVID-19 on global financial stock markets. However, the effect is varied for …

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 … country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

Assessing and pricing country risk poses a considerable challenge to tactical asset allocation across national equity … markets. This research examines the relationship between the country composite risk (together with its component risks related …