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International Financial Contagion
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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)Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors (1999)The Transmission of Financial Stress from Advanced to Emerging Economies (2009)Stocks, bonds, money markets and exchange rates: measuring international financial transmission (2010)Speculators, commodities and cross-market linkages (2013)PORTFOLIO SELECTION* (1952)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks (2011)Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19 (2020)Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter? 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  • 2018Home away from home? Foreign demand and London house prices215 cited
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Is Financial Globalization Beneficial?
208 cited
  • 2012From the financial crisis to the real economy: Using firm-level data to identify transmission channels207 cited