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Market segmentation and the valuation of closed-end country funds: An empirical analysis
16 references·4 citing·39 second hop
Market segmentation and the valuation of closed-end country funds: An empirical analysis (1996)Market segmentation and the valuation of …Closed-end Country Funds and U.S. Market Sentiment (1995)Closed-end Country Funds and …On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Cl…Anomalies: Closed-End Mutual Funds (1990)Anomalies: Closed-End Mutual …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership (1986)A Model of International Asse…International Asset Pricing under Mild Segmentation: Theory and Test (1985)International Asset Pricing u…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…Multivariate tests of financial models (1982)Multivariate tests of financi…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…On the Effects of Barriers to International Investment (1981)On the Effects of Barriers to…Capital Controls, Political Risk, and Deviations from Interest-Rate Parity (1980)Capital Controls, Political R…AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS (1977)AN EMPIRICAL TEST OF THE ALTE…International capital market equilibrium with investment barriers (1974)International capital market …An equilibrium model of the international capital market (1974)An equilibrium model of the i…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The comparative role of iShares and country funds in internationally diversified portfolios (2009)The comparative role of iShar…Evidence on the Mean‐Reverting Tendencies of Closed‐End Fund Discounts (2003)Evidence on the Mean‐Revertin…On the dual characteristics of closed-end country funds (2002)On the dual characteristics o…International Portfolio Investment: Theory, Evidence, and Institutional Framework (2001)International Portfolio Inves…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)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)The Pricing of Exchange Rate Risk in the Stock Market (1991)Political Risk, Economic Risk, and Financial Risk (1996)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Time‐Varying World Market Integration (1995)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)A Note on Uncertainty and Indifference Curves (1969)Size, value, and momentum in international stock returns (2012)… and the Cross-Section of Expected Returns (2015)The Behavior of Stock-Market Prices (1965)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)On Persistence in Mutual Fund Performance (1997)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Foundations of Finance. (1977)The market reaction to international cross-listings: evidence from Depositary Receipts (1999)Emerging markets finance (2003)What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide (2005)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Expected Stock Returns and Variance Risk Premia (2009)Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium (1994)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1974An equilibrium model of the international capital market1,130 cited
  • 1985International Asset Pricing under Mild Segmentation: Theory and Test1,021 cited
  • 1981On the Effects of Barriers to International Investment699 cited
  • 1982Multivariate tests of financial models614 cited
  • 1974International capital market equilibrium with investment barriers551 cited
  • 1995Closed-end Country Funds and U.S. Market Sentiment358 cited
  • 1986A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership349 cited
  • 1980Capital Controls, Political Risk, and Deviations from Interest-Rate Parity329 cited
  • 1977AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS276 cited

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  • 1990Anomalies: Closed-End Mutual Funds224 cited
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    • 2001International Portfolio Investment: Theory, Evidence, and Institutional Framework29 cited
    • 2003Evidence on the Mean‐Reverting Tendencies of Closed‐End Fund Discounts28 cited
    • 2002On the dual characteristics of closed-end country funds28 cited
    • 2009The comparative role of iShares and country funds in internationally diversified portfolios26 cited