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Exchange Risk Implications of International Portfolio Diversification
11 references·1 citing·33 second hop
Exchange Risk Implications of International Portfolio Diversification (1979)Exchange Risk Implications of Internation…An examination of foreign exchange risk under fixed and floating rate regimes (1977)An examination of foreign exc…The Random Behavior of Flexible Exchange Rates: Implications for Forecasting (1975)The Random Behavior of Flexib…Session Topic: Capital Asset Pricing Models in an International Context (1974)Session Topic: Capital Asset …Investment and Portfolio Analysis. (1972)Investment and Portfolio Anal…THE INTERDEPENDENCE OF INTERNATIONAL EQUITY MARKETS (1971)THE INTERDEPENDENCE OF INTERN…International Diversification of Investment Portfolios (1970)International Diversification…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Idiosyncratic Volatility and Expected Returns at the Global Level (2015)Idiosyncratic Volatility and …Portfolio Selection: Efficient Diversification of Investments (1959)Does industrial structure explain the benefits of international diversification? (1994)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)WORLD, NATIONAL, AND INDUSTRY FACTORS IN EQUITY RETURNS (1974)International Listings and Stock Returns: Some Empirical Evidence (1988)Can the Gains from International Diversification Be Achieved without Trading Abroad? (1999)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)Exchange Rate Volatility and U. S. Monetary Policy: An ARCH Application (1989)Implications of Nonlinear Dynamics for Financial Risk Management (1993)Modeling asset returns with alternative stable distributions (1993)The variation of certain speculative prices (1997)Why Not Diversify Internationally Rather Than Domestically? (1974)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)An Engine, Not a Camera (2006)Does board gender diversity improve the informativeness of stock prices? (2011)… and the Cross-Section of Expected Returns (2015)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (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)PORTFOLIO EFFICIENCY ANALYSIS IN THREE MOMENTS: THE MULTIPERIOD CASE† (1975)Skewness Preference and Portfolio Choice (1982)Markowitz Versus the Talmudic Portfolio Diversification Strategies (2009)Comovement of International Equity Markets: A Taxonomic Approach (1976)The international transmission of stock market fluctuation between the developed markets and the Asian—Pacific markets (1992)Common trends and convergence? South East Asian equity markets, 1988–1999 (2002)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (2003)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1974Session Topic: Capital Asset Pricing Models in an International Context366 cited
  • 1977An examination of foreign exchange risk under fixed and floating rate regimes235 cited
  • 1971THE INTERDEPENDENCE OF INTERNATIONAL EQUITY MARKETS228 cited
  • 1972Investment and Portfolio Analysis.169 cited
  • 1975The Random Behavior of Flexible Exchange Rates: Implications for Forecasting145 cited

Cited by

  • 2015Idiosyncratic Volatility and Expected Returns at the Global Level34 cited

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