Currency risk in the pricing of international equity returns is analyzed from an empirical viewpoint. The significance of other factors, such as the domestic market index, world index, and industry index is also analyzed.

This paper finds a high correlation between the open to close returns for U.S. stocks in the previous trading day and the Japanese equity market performance in the current period. In contrast, the Japanese market has only a small impact on the U.S. return in the current period. High correlations...

We examine the issue of optimal asset allocation among three broad classes of assetsÃÃLarge Stocks (proxied by the S&P composite index); real estate assets (a portfolio of thirty Equity Real Estate Investment Trusts (REITs) traded on major stock exchanges); and the risk-free asset (the...