SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
THE ECONOMICS OF UNCOVERED INTEREST PARITY CONDITION FOR EMERGING MARKETS: A SURVEY
16 references·1 citing·42 second hop
THE ECONOMICS OF UNCOVERED INTEREST PARITY CONDITION FOR EMERGING MARKETS: A SURVEY (2007)THE ECONOMICS OF UNCOVERED INTEREST PARIT…Financial Globalization: A Reappraisal (2006)Financial Globalization: A Re…The Capital Asset Pricing Model: Theory and Evidence (2004)The Capital Asset Pricing Mod…The Economics of Exchange Rates (2003)The Economics of Exchange Rat…Emerging markets finance (2003)Emerging markets financeDating the integration of world equity markets (2002)Dating the integration of wor…The Microstructure Approach to Exchange Rates (2001)The Microstructure Approach t…Fear of Floating (2000)Fear of FloatingCan book-to-market, size and momentum be risk factors that predict economic growth? (2000)Can book-to-market, size and …By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates (1995)Some Empirical Evidence on th…Puzzles in International Financial Markets (1994)Puzzles in International Fina…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeRisk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The risk adjusted uncovered equity parity (2011)The risk adjusted uncovered e…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Expectations and Exchange Rate Dynamics (1976)Empirical exchange rate models of the seventies (1983)The federal funds rate and the channels of monetary transmission (1989)Large Bayesian vector auto regressions (2009)Capital Flows and the Risk-Taking Channel of Monetary Policy (2013)Cross-Border Banking and Global Liquidity (2014)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)On Persistence in Mutual Fund Performance (1997)Capital Account Liberalization: Theory, Evidence, and Speculation (2007)Political connections and the cost of equity capital (2012)Impact of ESG factors on firm risk in Europe (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)International Asset Allocation With Regime Shifts (2002)Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates (1963)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)Firm-Specific Assets and the Link Between Exchange Rates and Foreign Direct Investment (2019)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Investor Psychology and Asset Pricing (2001)Exchange Rates and Fundamentals (2005)Carry Trades and Currency Crashes (2008)A Theory of Optimum Currency Areas (1961)The Optimal Degree of Commitment to an Intermediate Monetary Target (1985)Staggered Prices in a Utility-Maximizing Framework (1996)Distinguished Lecture on Economics in Government—Exchange Rate Regimes: Is the Bipolar View Correct? (2001)The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility (2004)Stories of the Twentieth Century for the Twenty-First (2012)Order Flow and Exchange Rate Dynamics (1999)Market microstructure: A survey (2000)Common Risk Factors in Currency Markets (2011)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2000Fear of Floating2,063 cited
  • 2004The Capital Asset Pricing Model: Theory and Evidence2,057 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 2003The Economics of Exchange Rates1,327 cited
  • 1995Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates1,127 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 2001The Microstructure Approach to Exchange Rates1,043 cited
  • 2000Can book-to-market, size and momentum be risk factors that predict economic growth?1,012 cited
  • 2006Financial Globalization: A Reappraisal955 cited
  • 1990Anomalies: Foreign Exchange902 cited
  • 2003Emerging markets finance755 cited
  • 2002Dating the integration of world equity markets561 cited
  • 1994Puzzles in International Financial Markets

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

523 cited

Cited by

  • 2011The risk adjusted uncovered equity parity41 cited