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Some tests of international equity integration
16 references·16 citing·38 second hopsampled
Some tests of international equity integration (1988)Some tests of international equity integr…The equity premium: A puzzle (1985)The equity premium: A puzzleInternational Asset Pricing under Mild Segmentation: Theory and Test (1985)International Asset Pricing u…Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…Multivariate tests of financial models (1982)Multivariate tests of financi…On the Effects of Barriers to International Investment (1981)On the Effects of Barriers to…A model of international asset pricing (1981)A model of international asse…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…THE DEMAND FOR RISKY ASSETS (1977)THE DEMAND FOR RISKY ASSETSA critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…International capital market equilibrium with investment barriers (1974)International capital market …An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates (1963)Capital Mobility and Stabiliz…World Market Risk, Country-Specific Risk and Expected Returns in International Stock Markets (2009)World Market Risk, Country-Sp…Market integration and contagion: Evidence from Asian emerging stock and foreign exchange markets (2007)Market integration and contag…Are the East Asian markets integrated? Evidence from the ICAPM (2003)Are the East Asian markets in…Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras (1997)Dynamic linkages and the prop…Measuring International Economic Linkages with Stock Market Data (1996)Measuring International Econo…Long‐Run Diversification Potential in Emerging Stock Markets (1996)Long‐Run Diversification Pote…The structure of international stock returns and the integration of capital markets (1995)The structure of internationa…Measurement of Market Integration and Arbitrage (1995)Measurement of Market Integra…Evaluating the gains from international risksharing (1995)Evaluating the gains from int…What Determines Expected International Asset Returns? (1994)What Determines Expected Inte…International Portfolio Choice and Asset Pricing: An Integrative Survey (1994)International Portfolio Choic…A New Approach to International Arbitrage Pricing (1993)A New Approach to Internation…Tests of integration, mild segmentation and segmentation hypotheses (1992)Tests of integration, mild se…Global Financial Markets and the Risk Premium on U.S. Equity (1992)Global Financial Markets and …International Investment Restrictions and Closed‐End Country Fund Prices (1990)International Investment Rest…Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets (1989)Capital Controls and Internat…The Appropriate Use of Monetary and Fiscal Policy for Internal and External Stability (1962)Invested interests: the politics of national economic policies in a world of global finance (1991)The Economics of Exchange Rates (2003)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)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)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)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 Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)On estimating the expected return on the market (1980)Predicting returns in the stock and bond markets (1986)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Chapter 18 A survey of behavioral finance (2003)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Economic Forces and the Stock Market (1986)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)Trends and random walks in macroeconmic time series (1982)Testing for a Unit Root in Time Series Regression (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The Adaptive Markets Hypothesis (2004)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1963Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates2,697 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1977THE DEMAND FOR RISKY ASSETS1,052 cited
  • 1985International Asset Pricing under Mild Segmentation: Theory and Test1,021 cited
  • 1981A model of international asset pricing807 cited
  • 1981On the Effects of Barriers to International Investment699 cited
  • 1982Multivariate tests of financial models

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614 cited
  • 1974International capital market equilibrium with investment barriers551 cited
  • Cited by

    • 1989Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets212 cited
    • 1990International Investment Restrictions and Closed‐End Country Fund Prices206 cited
    • 1995Measurement of Market Integration and Arbitrage205 cited
    • 1996Measuring International Economic Linkages with Stock Market Data201 cited
    • 1993A New Approach to International Arbitrage Pricing182 cited
    • 1994International Portfolio Choice and Asset Pricing: An Integrative Survey170 cited
    • 1992Tests of integration, mild segmentation and segmentation hypotheses169 cited
    • 2007Market integration and contagion: Evidence from Asian emerging stock and foreign exchange markets168 cited
    • 1997Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras159 cited
    • 1992Global Financial Markets and the Risk Premium on U.S. Equity152 cited
    • 1995Evaluating the gains from international risksharing142 cited
    • 1996Long‐Run Diversification Potential in Emerging Stock Markets137 cited
    • 1995The structure of international stock returns and the integration of capital markets135 cited
    • 2009World Market Risk, Country-Specific Risk and Expected Returns in International Stock Markets120 cited
    • 1994What Determines Expected International Asset Returns?108 cited
    • 2003Are the East Asian markets integrated? Evidence from the ICAPM107 cited