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Predictable time-varying components of international asset returns
Solnik, Bruno - 1994
Persistent link: https://www.econbiz.de/10000897103
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What determines expected international asset retuns [returns]?
Solnik, Bruno; Harvey, Campbell R.; Zhou, Guofu - 1994
Persistent link: https://www.econbiz.de/10000897108
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What determines expected international asset returns?
Harvey, Campbell R. - 1994
Persistent link: https://www.econbiz.de/10000883653
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Global equity styles and industry effects : portfolio construction via dummy variables
Kuo, George W.; Satchell, Stephen - 1998
Persistent link: https://www.econbiz.de/10000668567
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Quantile coherency networks of international stock markets
Baumöhl, Eduard; Shahzad, Syed Jawad Hussain - 2019
This paper uses the novel quantile coherency approach to examine the tail dependence network of 49 international stock markets in the frequency domain. We find that geographical proximity and state of market development are important factors in stock markets networks. Both the short- and...
Persistent link: https://www.econbiz.de/10012124708
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Global asset allocation shifts
Kroencke, Tim-Alexander; Schmeling, Maik; Schrimpf, Andreas - 2015
Persistent link: https://www.econbiz.de/10010509601
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Correlations across Asia-Pacific bond markets and the impact of capital flow measures
Chantapacdepong, Pornpinun; Shim, Ilhyock - 2014
Persistent link: https://www.econbiz.de/10010495717
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Global stock return comovements : trends and determinants
Inaba, Kei-Ichiro - 2018
Persistent link: https://www.econbiz.de/10012180349
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What moves international stock and bond markets?
Cenedese, Gino; Mallucci, Enrico - 2015 - This draft: June 2015
Persistent link: https://www.econbiz.de/10012171607
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International tail risk and world fear
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …
Persistent link: https://www.econbiz.de/10011751251