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Diversification, Integration and Emerging Market Closed‐End Funds
14 references·16 citing·40 second hop
Diversification, Integration and Emerging Market Closed‐End Funds (1996)Diversification, Integration and Emerging…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Market Integration and Investment Barriers in Emerging Equity Markets (1995)Market Integration and Invest…The Sharpe Ratio (1994)The Sharpe RatioPredictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …Investor Sentiment and the Closed‐End Fund Puzzle (1991)Investor Sentiment and the Cl…Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Cl…Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Evaluating the Performance of International Mutual Funds (1990)Evaluating the Performance of…Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications (1989)Seminonparametric Estimation …Mean-Variance Spanning (1987)Mean-Variance SpanningA trend factor: Any economic gains from using information over investment horizons? (2016)A trend factor: Any economic …Home Bias in Open Economy Financial Macroeconomics (2013)Home Bias in Open Economy Fin…On the diversification benefits of commodities from the perspective of euro investors (2012)On the diversification benefi…International diversification with frontier markets (2011)International diversification…Home Bias in Open Economy Financial Macroeconomics (2011)Home Bias in Open Economy Fin…International portfolio diversification benefits: Cross-country evidence from a local perspective (2007)International portfolio diver…How Sovereign is Sovereign Credit Risk? (2007)How Sovereign is Sovereign Cr…Stock market liberalization and the information environment (2006)Stock market liberalization a…Diversification benefits of emerging markets subject to portfolio constraints (2003)Diversification benefits of e…The Price of a Smile: Hedging and Spanning in Option Markets (2001)The Price of a Smile: Hedging…Testing for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets (2001)Testing for Mean‐Variance Spa…Market Segmentation and the Cost of Capital in International Equity Markets (2000)Market Segmentation and the C…Modelling emerging market risk premia using higher moments (1999)Modelling emerging market ris…Foreign Ownership Restrictions and Equity Price Premiums: What Drives the Demand for Cross-Border Investments? (1999)Foreign Ownership Restriction…Economic determinants of evolution in international stock market integration (1999)Economic determinants of evol…Can the Gains from International Diversification Be Achieved without Trading Abroad? (1999)Can the Gains from Internatio…Economic Forces and the Stock Market (1986)Dividend yields and expected stock returns (1988)Noise Trader Risk in Financial Markets (1990)Herding and Feedback Trading by Institutional and Individual Investors (1999)Retail Investor Sentiment and Return Comovements (2006)Does Academic Research Destroy Stock Return Predictability? (2015)Generalized autoregressive conditional heteroskedasticity (1986)A Capital Asset Pricing Model with Time-Varying Covariances (1988)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Introductory Econometrics for Finance (2008)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The arbitrage theory of capital asset pricing (1976)Local Return Factors and Turnover in Emerging Stock Markets (1999)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Political connections and the cost of equity capital (2012)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)The Theory of Syndicates (1968)Asset Prices in an Exchange Economy (1978)Martingales and arbitrage in multiperiod securities markets (1979)Risk, Return, and Equilibrium: Empirical Tests (1973)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Equity Share in New Issues and Aggregate Stock Returns (2000)Sports Sentiment and Stock Returns (2007)Individual Investor Trading and Stock Returns (2008)
this work references cited by second hop

References

  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1994The Sharpe Ratio2,542 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
  • 1991Investor Sentiment and the Closed‐End Fund Puzzle1,284 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies1,182 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited
  • 1995Predictable Risk and Returns in Emerging Markets982 cited
  • 1995Market Integration and Investment Barriers in Emerging Equity Markets600 cited
  • 1987Mean-Variance Spanning590 cited
  • 1989Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications440 cited
  • 1990Evaluating the Performance of International Mutual Funds399 cited

Cited by

  • 1999Can the Gains from International Diversification Be Achieved without Trading Abroad?

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365 cited
  • 2013Home Bias in Open Economy Financial Macroeconomics359 cited
  • 2000Market Segmentation and the Cost of Capital in International Equity Markets318 cited
  • 2001Testing for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets293 cited
  • 2011Home Bias in Open Economy Financial Macroeconomics281 cited
  • 2007International portfolio diversification benefits: Cross-country evidence from a local perspective265 cited
  • 1999Modelling emerging market risk premia using higher moments239 cited
  • 2011International diversification with frontier markets232 cited
  • 2003Diversification benefits of emerging markets subject to portfolio constraints230 cited
  • 2006Stock market liberalization and the information environment228 cited
  • 1999Economic determinants of evolution in international stock market integration223 cited
  • 2001The Price of a Smile: Hedging and Spanning in Option Markets219 cited
  • 1999Foreign Ownership Restrictions and Equity Price Premiums: What Drives the Demand for Cross-Border Investments?204 cited
  • 2007How Sovereign is Sovereign Credit Risk?201 cited
  • 2016A trend factor: Any economic gains from using information over investment horizons?188 cited
  • 2012On the diversification benefits of commodities from the perspective of euro investors185 cited