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Modelling emerging market risk premia using higher moments
12 references·16 citing·43 second hop
Modelling emerging market risk premia using higher moments (1999)Modelling emerging market risk premia usi…Distributional Characteristics of Emerging Market Returns and Asset Allocation (1998)Distributional Characteristic…Emerging equity market volatility (1997)Emerging equity market volati…Diversification, Integration and Emerging Market Closed‐End Funds (1996)Diversification, Integration …Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications (1995)An Empirical Investigation of…Finite sample properties of the generalized method of moments in tests of conditional asset pricing models (1994)Finite sample properties of t…On The Direction of Preference for Moments of Higher Order Than The Variance (1980)On The Direction of Preferenc…Co-Skewness and Capital Asset Pricing (1980)Co-Skewness and Capital Asset…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Multiperiod Consumption-Investment Decisions (1975)Multiperiod Consumption-Inves…RISK AND THE REQUIRED RETURN ON EQUITY (1967)RISK AND THE REQUIRED RETURN …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach (2018)Causal effects of the United …Extremal dependence tests for contagion (2015)Extremal dependence tests for…Do jumps contribute to the dynamics of the equity premium? (2013)Do jumps contribute to the dy…Comoment risk and stock returns (2013)Comoment risk and stock retur…Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries (2013)Assessing the impact of oil r…Market skewness risk and the cross section of stock returns (2012)Market skewness risk and the …Figuring what’s fair: The cost of equity capital for renewable energy in emerging markets (2010)Figuring what’s fair: The cos…Extending Black-Litterman Analysis Beyond the Mean-Variance Framework (2007)Extending Black-Litterman Ana…Statistical mechanics of socio-economic systems with heterogeneous agents (2006)Statistical mechanics of soci…Performance measurement of hedge funds using data envelopment analysis (2006)Performance measurement of he…Multi-moment Asset Allocation and Pricing Models (2006)Multi-moment Asset Allocation…An alternative perspective on the relationship between downside beta and CAPM beta (2006)An alternative perspective on…Empirical distributions of stock returns: between the stretched exponential and the power law? (2005)Empirical distributions of st…How to Price Hedge Funds: From Two- to Four-Moment CAPM (2004)How to Price Hedge Funds: Fro…An analysis of the distribution of extreme returns in the UK from 1975 to 2000 (2004)An analysis of the distributi…Tracking error: Ex ante versus ex post measures (2001)Tracking error: Ex ante versu…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)The Sharpe Ratio (1994)Can the Gains from International Diversification Be Achieved without Trading Abroad? (1999)Market Segmentation and the Cost of Capital in International Equity Markets (2000)Home Bias in Open Economy Financial Macroeconomics (2013)Risk Aversion in the Small and in the Large (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 (1965)COMPONENTS OF INVESTMENT PERFORMANCE* (1972)Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand Aggregation (1982)The Valuation of Uncertain Income Streams and the Pricing of Options (2010)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The equity premium: A puzzle (1985)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)The Spirit of Capitalism and Stock-Market Prices (1996)Robust Permanent Income and Pricing (1999)Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices (2002)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)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)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)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)Theory of Financial Decision Making. (1988)Introductory Econometrics for Finance (2008)Portfolio selection and skewness: Evidence from international stock markets (1997)Optimal Portfolio Allocation under Higher Moments (2006)Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns (2008)Systemic Risk and International Portfolio Choice (2004)International asset allocation under regime switching, skew, and kurtosis preferences (2008)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 1967RISK AND THE REQUIRED RETURN ON EQUITY666 cited
  • 1975Multiperiod Consumption-Investment Decisions448 cited
  • 1998Distributional Characteristics of Emerging Market Returns and Asset Allocation397 cited
  • 1995An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications384 cited
  • 1996Diversification, Integration and Emerging Market Closed‐End Funds363 cited
  • 1994Finite sample properties of the generalized method of moments in tests of conditional asset pricing models346 cited
  • 1980Co-Skewness and Capital Asset Pricing271 cited

Cited by

  • 2005Empirical distributions of stock returns: between the stretched exponential and the power law?191 cited
  • 2012Market skewness risk and the cross section of stock returns149 cited
  • 2013Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries

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100 cited
  • 2015Extremal dependence tests for contagion94 cited
  • 2006Multi-moment Asset Allocation and Pricing Models93 cited
  • 2013Comoment risk and stock returns73 cited
  • 2006Performance measurement of hedge funds using data envelopment analysis73 cited
  • 2013Do jumps contribute to the dynamics of the equity premium?69 cited
  • 2006Statistical mechanics of socio-economic systems with heterogeneous agents68 cited
  • 2018Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach66 cited
  • 2006An alternative perspective on the relationship between downside beta and CAPM beta63 cited
  • 2007Extending Black-Litterman Analysis Beyond the Mean-Variance Framework60 cited
  • 2001Tracking error: Ex ante versus ex post measures58 cited
  • 2010Figuring what’s fair: The cost of equity capital for renewable energy in emerging markets54 cited
  • 2004How to Price Hedge Funds: From Two- to Four-Moment CAPM53 cited
  • 2004An analysis of the distribution of extreme returns in the UK from 1975 to 200051 cited