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Country versus sector factors in equity returns: The roles of non-unit exposures
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Country versus sector factors in equity returns: The roles of non-unit exposures (2010)Country versus sector factors in equity r…Confirmatory factor analysis for applied research (2007)Confirmatory factor analysis …INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE! (2006)INDIVIDUAL EQUITY RETURN DATA…Firm-Level Evidence on International Stock Market Comovement (2006)Firm-Level Evidence on Intern…EMU and European Stock Market Integration* (2006)EMU and European Stock Market…The rise in comovement across national stock markets: market integration or IT bubble? (2004)The rise in comovement across…A Decomposition of Global Linkages in Financial Markets Over Time (2004)A Decomposition of Global Lin…The Rise of Sector Effects in Major Equity Markets (2000)The Rise of Sector Effects in…The Increasing Importance of Industry Factors (2000)The Increasing Importance of …European Equity Markets and the EMU (1999)European Equity Markets and t…Another look at the role of the industrial structure of markets for international diversification strategies1We are especially grateful to Pat Casey and Virge Cavalli at Dow Jones for providing the Dow Jones World Stock Index data and for their assistance with numerous queries. We gratefully acknowledge the comments of Geert Bekaert, William Brigham, Shane Corwin, Steve Foerster, Jeff Harris, Steve Heston, Ajay Khorana, David Mayers, John Persons, René Stulz, and particularly, the referee (Geert Rouwenhorst) and editor (John Long). We also thank participants at the University of Alberta, University of Toronto and Ohio State University, the 1996 UBC Global Investment Conference (Whistler), 1996 International Finance Conference (Georgia Tech), 1996 Western Finance Association Conference, and 1996 Financial Management Association Conference for helpful suggestions. Karolyi thanks the Dice Center for Financial Economics and the Social Sciences and Humanities Research Council of Canada for financial support.1 (1998)Another look at the role of t…National versus Global Influences on Equity Returns (1996)National versus Global Influe…Does industrial structure explain the benefits of international diversification? (1994)Does industrial structure exp…Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992)Industrial Structure and the …The empirical foundations of the arbitrage pricing theory (1988)The empirical foundations of …Measuring security price performance (1980)Measuring security price perf…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Stock returns and the weekend effect (1980)Generalized autoregressive conditional heteroskedasticity (1986)The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Default Risk in Equity Returns (2004)Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)International Diversification of Investment Portfolios (1970)International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Momentum Strategies (1998)An Empirical Evaluation of Accounting Income Numbers (1968)The Adjustment of Stock Prices to New Information (1969)Using daily stock returns (1985)Event Studies in Economics and Finance (1997)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Market and Industry Factors in Stock Price Behavior (1966)Why Not Diversify Internationally Rather Than Domestically? (1974)Economic Forces and the Stock Market (1986)International Stock Return Comovements (2005)The Limits of Financial Globalization (2005)What Factors Drive Global Stock Returns? 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References

  • 2007Confirmatory factor analysis for applied research15,614 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1980Measuring security price performance3,370 cited
  • 2006INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!893 cited
  • 1994Does industrial structure explain the benefits of international diversification?746 cited
  • 1992Industrial Structure and the Comparative Behavior of International Stock Market Indices662 cited
  • 2004A Decomposition of Global Linkages in Financial Markets Over Time460 cited
  • 2000The Increasing Importance of Industry Factors457 cited
  • 1998Another look at the role of the industrial structure of markets for international diversification strategies1We are especially grateful to Pat Casey and Virge Cavalli at Dow Jones for providing the Dow Jones World Stock Index data and for their assistance with numerous queries. We gratefully acknowledge the comments of Geert Bekaert, William Brigham, Shane Corwin, Steve Foerster, Jeff Harris, Steve Heston, Ajay Khorana, David Mayers, John Persons, René Stulz, and particularly, the referee (Geert Rouwenhorst) and editor (John Long). We also thank participants at the University of Alberta, University of Toronto and Ohio State University, the 1996 UBC Global Investment Conference (Whistler), 1996 International Finance Conference (Georgia Tech), 1996 Western Finance Association Conference, and 1996 Financial Management Association Conference for helpful suggestions. Karolyi thanks the Dice Center for Financial Economics and the Social Sciences and Humanities Research Council of Canada for financial support.1444 cited
  • 2006EMU and European Stock Market Integration*431 cited
  • 1988The empirical foundations of the arbitrage pricing theory

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366 cited
  • 2000The Rise of Sector Effects in Major Equity Markets310 cited
  • 2004The rise in comovement across national stock markets: market integration or IT bubble?303 cited
  • 1999European Equity Markets and the EMU172 cited
  • 1996National versus Global Influences on Equity Returns162 cited
  • 2006Firm-Level Evidence on International Stock Market Comovement123 cited
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