References

• 1995Time‐Varying World Market Integration2,152 cited
• 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
• 1991The World Price of Covariance Risk1,139 cited
• 1993The Risk and Predictability of International Equity Returns1,065 cited
• 1994Predictable Risk and Returns in Emerging Markets1,042 cited
• 1995Predictable Risk and Returns in Emerging Markets982 cited
• 1997International Asset Pricing and Portfolio Diversification with Time-Varying Risk812 cited
• 1981A model of international asset pricing807 cited
• 1995The World Price of Foreign Exchange Risk765 cited
• 1991The Pricing of Exchange Rate Risk in the Stock Market613 cited
• 1995Time-Varying World Market Integration594 cited
• 2002Are Financial Assets Priced Locally or Globally?548 cited
• 2007Characterizing World Market Integration through Time531 cited
• 1998How big is the premium for currency risk?1We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts, Mark Carhart, John Cochrane, Magnus Dahlquist, Wayne Ferson, Linda Goldberg, Campbell Harvey, Pierre Hillion, Robert Hodrick (the referee), Olivier Ledoit, John Matsusaka, Hans Mikkelsen, Angel Serrat and Ivo Welch, as well as workshop participants at INSEAD, University of California at Los Angeles, University of Southern California, University of Rochester, Southern Methodist University, University of California – Irvine, Koc University and participants at the 1996 UBC Global Investment Conference (Whistler, BC), 1996 Western Finance Association meetings (Sunriver, OR), 1996 European Finance Association meetings (Oslo, Norway), 1996 NBER Asset Pricing meeting (Evanston, IL), and the 1997 Econometric Society winter meetings (New Orleans, LA) for their comments. The paper was written while the second author was visiting the Anderson School at UCLA. Both authors acknowledge the financial support of a CIBEAR grant.1