In some emerging financial markets, high cross sectional return correlations limit the risk reduction benefits of diversification. The dominant explanation for these high correlations in the literature is that they result from shortages of information (c.f. Grossman, 1976, Roll, 1992, Stulz,...

The common explanation in the finance literature for high asset return correlations in some emerging markets is lack of information. Grossman (1976) and others proffer the hypothesis that sparse or misleading information produces high asset return correlations in some emerging markets. But we...

The Turkish bank regulators and banks have paid a great deal of attention to modernization of risk management, codifying the modern methods of Value at Risk analysis into banking regulation in February 2000. Every bank is now required to submit a detailed risk management plan to the government...

This paper examines the importance of market-wide high investment return correlations to risk averse investors and corporate claim issuers in emerging markets. We that high correlation between investment returns is associated with two limits to the value of these emerging markets to investors...