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Estimating the Correlation Structure of International Share Prices
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Estimating the Correlation Structure of International Share Prices (1984)Estimating the Correlation Structure of I…AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS (1977)AN EMPIRICAL TEST OF THE ALTE…World, Country, and Industry Relationships in Equity Returns: Implications for Risk Reduction through International Diversification (1976)World, Country, and Industry …Why Not Diversify Internationally Rather Than Domestically? (1974)Why Not Diversify Internation…INTERNATIONAL PORTFOLIO DIVERSIFICATION: A MULTIVARIATE ANALYSIS FOR A GROUP OF LATIN AMERICAN COUNTRIES (1973)INTERNATIONAL PORTFOLIO DIVER…ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTION (1973)ESTIMATING THE DEPENDENCE STR…A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS (1973)A NOTE ON USING CROSS‐SECTION…International Diversification of Investment Portfolios (1970)International Diversification…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Applied Economic Forecasting (1967)Applied Economic ForecastingApplied Economic Forecasting (1967)Applied Economic ForecastingAn Empirical Evaluation of Alternative Portfolio-Selection Models (1967)An Empirical Evaluation of Al…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Global Currency Hedging with Common Risk Factors (2018)Global Currency Hedging with …Noise sensitivity of portfolio selection under various risk measures (2007)Noise sensitivity of portfoli…The Jordanian Stock Market: Should You Invest in it for Risk Diversification or Performance? (2006)The Jordanian Stock Market: S…Stock Market Interlinkages: A Study of Indian and World Equity Markets (2005)Stock Market Interlinkages: A…Estimated correlation matrices and portfolio optimization (2004)Estimated correlation matrice…The interdependence of share markets in the developed economies of East Asia (2003)The interdependence of share …Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns (2002)Correlated ARCH (CorrARCH): M…Economic determinants of the correlation structure across international equity markets (1999)Economic determinants of the …Correlation in price changes and volatility of major Latin American stock markets (1999)Correlation in price changes …The Performance of Actively Managed International Mutual Funds (1997)The Performance of Actively M…The benefits from international diversification for Nordic investors (1997)The benefits from internation…Hysteresis and the Value of the U.S. Multinational Corporation (1997)Hysteresis and the Value of t…International Diversification of Investment Portfolios: U.S. and Japanese Perspectives (1994)International Diversification…Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence (1994)Estimation Methods in Portfol…The Intertemporal Stability of the Relationships Between the Asian Emerging Equity Markets and the Developed Equity Markets (1991)The Intertemporal Stability o…Liquidity Preference as Behavior Towards Risk (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide (2005)International comovement of stock market returns: A wavelet analysis (2009)Portfolio Selection: Efficient Diversification of Investments (1959)Does industrial structure explain the benefits of international diversification? (1994)Portfolio Selection (1952)The Behavior of Stock-Market Prices (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model (1999)Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection (2009)Islamic equity market integration and volatility spillover between emerging and US stock markets (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Prediction of Systematic and Specific Risk in Common Stocks (1973)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)Market-Based Empirical Research in Accounting: A Review, Interpretation, and Extension (1982)Friction in the trading process and the estimation of systematic risk (1983)Market and Industry Factors in Stock Price Behavior (1966)ON THE ASSESSMENT OF RISK (1971)Seasonal and Day‐of‐the‐Week Effects in Four Emerging Stock Markets (1989)TESTS OF RANDOM WALK AND MARKET EFFICIENCY FOR LATIN AMERICAN EMERGING EQUITY MARKETS (1995)A Survey of Literature on Controls over International Capital Transactions (1996)THE CONSENSUS AND ACCURACY OF SOME PREDICTIONS OF THE GROWTH OF CORPORATE EARNINGS (1968)Some comments on the evaluation of economic forecasts (1973)Time series forecasts of international travel demand for Australia (2002)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (2003)Assessing international diversification of West German corporations (1987)International Listings of Stocks: The Case of Canada and the U.S. (1993)Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle (2000)Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium (1994)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Extreme Correlation of International Equity Markets (2001)Forecasting Volatility in Financial Markets: A Review (2003)Introductory Econometrics for Finance (2008)
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References

  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1967Applied Economic Forecasting1,206 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1974Why Not Diversify Internationally Rather Than Domestically?899 cited
  • 1973A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS477 cited
  • 1976World, Country, and Industry Relationships in Equity Returns: Implications for Risk Reduction through International Diversification294 cited
  • 1973INTERNATIONAL PORTFOLIO DIVERSIFICATION: A MULTIVARIATE ANALYSIS FOR A GROUP OF LATIN AMERICAN COUNTRIES285 cited
  • 1973ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTION280 cited
  • 1967Applied Economic Forecasting280 cited
  • 1977AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS276 cited
  • 1967An Empirical Evaluation of Alternative Portfolio-Selection Models275 cited

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  • 2007Noise sensitivity of portfolio selection under various risk measures128 cited
  • 2002Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns

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115 cited
  • 1999Correlation in price changes and volatility of major Latin American stock markets114 cited
  • 1997Hysteresis and the Value of the U.S. Multinational Corporation111 cited
  • 1999Economic determinants of the correlation structure across international equity markets95 cited
  • 1994International Diversification of Investment Portfolios: U.S. and Japanese Perspectives91 cited
  • 2004Estimated correlation matrices and portfolio optimization89 cited
  • 2003The interdependence of share markets in the developed economies of East Asia83 cited
  • 1994Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence76 cited
  • 2018Global Currency Hedging with Common Risk Factors74 cited
  • 1991The Intertemporal Stability of the Relationships Between the Asian Emerging Equity Markets and the Developed Equity Markets68 cited
  • 1997The benefits from international diversification for Nordic investors34 cited
  • 1997The Performance of Actively Managed International Mutual Funds31 cited
  • 2005Stock Market Interlinkages: A Study of Indian and World Equity Markets28 cited
  • 2006The Jordanian Stock Market: Should You Invest in it for Risk Diversification or Performance?27 cited