This paper identifies the risks associated with investing in the Turkish stock market. We find that Turkish firms are more volatile than firms in countries that have recently joined the EU (our control group) and that the excess volatility is significantly associated with higher financial and...

This article investigates the risk-return relations of stocks traded in frontier markets, a class of small, illiquid, less accessible and less known emerging markets that has escaped the attention of many researchers. We examine the cross-section of risk premiums of 360 stocks traded in 19...