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Return range and the cross-section of expected index returns in international stock markets

Umutlu, Mehmet; Bengitöz, Pelin - In: Quantitative finance and economics 5 (2021) 3, pp. 421-451

Persistent link: https://www.econbiz.de/10012592477

Chapter 16 Are financial assets priced locally or globally?

Karolyi, G. Andrew; Stulz, René M. - 2003

premium depends on its covariance with the world market portfolio and, possibly, with exchange rate changes. The existing … empirical evidence shows that a country's risk premium depends on its covariance with the world market portfolio and that there … time-varying properties of correlations across countries. The home bias has the effect of increasing local influences on …

Persistent link: https://www.econbiz.de/10014023855

International Diversification During the Financial Crisis : A Blessing for Equity Investors?

Vermeulen, Robert - 2011

This paper empirically investigates international equity investors' foreign portfolios before and during the financial crisis by estimating a gravity model for 22 source and 42 destination countries. The results show that international stock market diversification provides large gains during the...

Persistent link: https://www.econbiz.de/10013117548

International Portfolio Diversification Benefits in Periods of Crises

Bouslama, Ons - 2012

benefits only when combined with developed markets. Our results highlight the importance of the USA, Jordan and Nigeria indexes …

Persistent link: https://www.econbiz.de/10013113980

The Effect of Extreme Markets on the Benefits of International Portfolio Diversification

Acker, Daniella - 2013

We investigate the effects of bull and bear markets on correlations between developed and emerging country equity returns, and on the benefits of combining international markets in a portfolio. We find that, contrary to most other studies, correlations fall in both bull and bear markets,...

Persistent link: https://www.econbiz.de/10013076587

What explains the benefits of international portfolio diversification?

Attig, Najah; Guedhami, Omrane; Nazaire, Gregory; Sy, Oumar - In: Journal of international financial markets, … 83 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014306380

Co-movement, spillovers and excess returns in global bond markets

Byrne, Joseph P.; Cao, Shuo; Korobilis, Dimitris - 2015

Persistent link: https://www.econbiz.de/10011318315

Global risk premia on international stock and bond markets

Oertmann, Peter - 1997

Persistent link: https://www.econbiz.de/10000621233

International portfolio diversification : United States and South Asian equity markets

Mushtaq, Rizwan; Ali Shah, Syed Zulfiqar - In: Panoeconomicus 61 (2014) 2, pp. 241-252

Persistent link: https://www.econbiz.de/10010341348

Cross-Border Returns Differentials

Curcuru, Stephanie E. - 2008

Were the U.S. to persistently earn substantially more on its foreign investments ("U.S. claims") than foreigners earn on their U.S. investments ("U.S. liabilities"), the likelihood that the current environment of sizeable global imbalances will evolve in a benign manner increases. However, using...

Persistent link: https://www.econbiz.de/10012464878