SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies
16 references·16 citing·40 second hopsampled
Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies (1996)Another Look at the Role of the Industria…Exchange Rates and Prices (2017)Exchange Rates and PricesInternational Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)International Asset Pricing a…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…The World Price of Foreign Exchange Risk (1995)The World Price of Foreign Ex…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Volatility and Links between National Stock Markets (1994)Volatility and Links between …Does industrial structure explain the benefits of international diversification? (1994)Does industrial structure exp…The World Price of Covariance Risk (1991)The World Price of Covariance…Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Exposure to Currency Risk: Definition and Measurement (1984)Exposure to Currency Risk: De…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…International Diversification of Investment Portfolios (1970)International Diversification…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Home Bias Abroad: Domestic Industries and Foreign Portfolio Choice (2017)Home Bias Abroad: Domestic In…Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures (2016)Clustering Huge Number of Fin…The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity (2011)The Baltic Dry Index as a Pre…Stock market synchronization and monetary integration (2010)Stock market synchronization …Global Equity Fund Performance, Portfolio Concentration, and the Fundamental Law of Active Management (2009)Global Equity Fund Performanc…Time-Varying Integration and International Diversification Strategies (2007)Time-Varying Integration and …Model uncertainty, financial market integration and the home bias puzzle (2007)Model uncertainty, financial …Sources of gains from international portfolio diversification (2006)Sources of gains from interna…Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission (2005)Stocks, Bonds, Money Markets …Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission (2005)Stocks, Bonds, Money Markets …Industry Risk and Market Integration (2004)Industry Risk and Market Inte…The characteristics of individual analysts’ forecasts in Europe (2003)The characteristics of indivi…A Decomposition of Global Linkages in Financial Markets Over Time (2003)A Decomposition of Global Lin…Volatility Spillover Effects in European Equity Markets (2002)Volatility Spillover Effects …Explaining Stock Market Correlation: \nA Gravity Model Approach (2001)Explaining Stock Market Corre…Country and industry factors in returns: evidence from emerging markets’ stocks (2000)Country and industry factors …Liquidity Preference as Behavior Towards Risk (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)Why Not Diversify Internationally Rather Than Domestically? (1974)What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide (2005)International comovement of stock market returns: A wavelet analysis (2009)Portfolio Selection: Efficient Diversification of Investments (1959)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)PORTFOLIO SELECTION* (1952)Generalized autoregressive conditional heteroskedasticity (1986)Volatility in Emerging Stock Markets (1999)A New Approach to Measuring Financial Contagion (2000)Emerging markets finance (2003)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Value versus Growth: The International Evidence (1998)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)The cost of capital, corporation finance and the theory of investment (2008)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Risk and Predictability of International Equity Returns (1993)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Common Risk Factors in Currency Markets (2011)ARCH modeling in finance (1992)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)Does financial liberalization spur growth? (2005)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 1997International Asset Pricing and Portfolio Diversification with Time-Varying Risk812 cited
  • 1984Exposure to Currency Risk: Definition and Measurement792 cited
  • 1995The World Price of Foreign Exchange Risk765 cited
  • 2017Exchange Rates and Prices762 cited
  • 1994Does industrial structure explain the benefits of international diversification?746 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1994Volatility and Links between National Stock Markets679 cited
  • Cited by

    • 2010Stock market synchronization and monetary integration144 cited
    • 2002Volatility Spillover Effects in European Equity Markets141 cited
    • 2016Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures139 cited
    • 2005Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission139 cited
    • 2004Industry Risk and Market Integration127 cited
    • 2003A Decomposition of Global Linkages in Financial Markets Over Time126 cited
    • 2007Time-Varying Integration and International Diversification Strategies122 cited
    • 2000Country and industry factors in returns: evidence from emerging markets’ stocks119 cited
    • 2001Explaining Stock Market Correlation: \nA Gravity Model Approach112 cited
    • 2003The characteristics of individual analysts’ forecasts in Europe107 cited
    • 2007Model uncertainty, financial market integration and the home bias puzzle105 cited
    • 2006Sources of gains from international portfolio diversification104 cited
    • 2011The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity92 cited
    • 2005Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission85 cited
    • 2017Home Bias Abroad: Domestic Industries and Foreign Portfolio Choice84 cited
    • 2009Global Equity Fund Performance, Portfolio Concentration, and the Fundamental Law of Active Management80 cited