Using monthly Compustat data for 478 companies covering the period 1982-1998, we investigate which factors discriminate between financially successful and less successful companies. Financial success is measured using three different methods, i.e., the Sharpe ratio, Jensen's alpha, and EVA. We...

The risk/return characteristics of world stock markets are examined for the period 1973-1990 and three sub-periods. From the perspective of the US investor, EC stock markets individually and collectively yield higher average rates of return but with higher variability than the US stock market...

Robert Johnson, John Lindvall and Luc Soenen investigate the impact of continued economic and monetary integration within the European Community on the risk/return characteristics of its equity markets. Equity markets in different EC countries are becoming more similar in terms of risk and...

Using daily returns from 1988 to 1998, we investigate to what degree twelve equity markets in Asia are integrated with Japan's equity market and examine the factors that affect the level of economic integration. We find that the equity markets of Australia, China, Hong Kong, Malaysia, New...

Using Geweke feedback measures, we present empirical evidence that largely supports the hypothesis that the stock markets of South American countries are highly affected by changes in commodity prices after controlling for changes in exchange rates, interest rates, and North American stock...

The performance of an international real estate investment can be critically affected by currency fluctuations. While survey work suggests large international investors with multi-asset portfolios tend to hedge their overall currency exposure at portfolio level, smaller and specialist investors...

There is little agreement among academics or practitioners about how to measure the size of the equity market risk premium, particularly when it relates to investments in emerging markets. Using monthly equity returns for 22 developed and 24 emerging markets covering the period 1976-2006, the...