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Country and industry factors in tests of Capital Asset Pricing Models for partially integrated emerging markets
16 references·0 citing·45 second hopsampled
Country and industry factors in tests of Capital Asset Pricing Models for partially integrated emerging markets (2019)Country and industry factors in tests of …Choosing factors (2018)Choosing factorsInternational tests of a five-factor asset pricing model (2016)International tests of a five…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…Global market integration: An alternative measure and its application☆ (2009)Global market integration: An…Characterizing World Market Integration through Time (2007)Characterizing World Market I…International Stock Return Comovements (2005)International Stock Return Co…Are Financial Assets Priced Locally or Globally? (2002)Are Financial Assets Priced L…The theory and practice of corporate finance: evidence from the field (2001)The theory and practice of co…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Trying to Explain Home Bias in Equities and Consumption (1999)Trying to Explain Home Bias i…Emerging equity market volatility (1997)Emerging equity market volati…Time-Varying World Market Integration (1995)Time-Varying World Market Int…Does industrial structure explain the benefits of international diversification? (1994)Does industrial structure exp…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The World Price of Covariance Risk (1991)The World Price of Covariance…Investor Diversification and International Equity Markets (1991)Investor Diversification and …The equity premium: A puzzle (1985)The Penn World Table (Mark 5): An Expanded Set of International Comparisons, 1950-1988 (1991)Familiarity Breeds Investment (2001)Investor Psychology and Asset Pricing (2001)The determinants of cross-border equity flows (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (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 (1965)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)THE INDIVIDUAL INVESTOR: ATTRIBUTES AND ATTITUDES (1974)International Investment Restrictions and Closed‐End Country Fund Prices (1990)Preference and belief: Ambiguity and competence in choice under uncertainty (1991)Financial Dependence and Growth (1996)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Household Finance (2006)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The Cross‐Section of Volatility and Expected Returns (2006)The Econometrics of Financial Markets (2012)ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)Measuring Economic Policy Uncertainty* (2016)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Law, Finance, and Economic Growth in China (2003)Managing with Style: The Effect of Managers on Firm Policies (2003)The economic implications of corporate financial reporting (2005)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)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 correlations of equity portfolios (2002)Does Academic Research Destroy Stock Return Predictability? (2015)Replicating Anomalies (2018)Empirical Asset Pricing via Machine Learning (2020)Short and Long Horizon Behavioral Factors (2017)Investment and Asset Pricing with ESG Disagreement (2020)Taming the Factor Zoo: A Test of New Factors (2020)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2001The theory and practice of corporate finance: evidence from the field5,947 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,591 cited
  • 1991Investor Diversification and International Equity Markets2,542 cited
  • 1995Time-Varying World Market Integration2,307 cited
  • 2015… and the Cross-Section of Expected Returns2,136 cited
  • 1997Emerging equity market volatility1,743 cited
  • 1999Trying to Explain Home Bias in Equities and Consumption1,364 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 2018Choosing factors1,058 cited
  • 2016International tests of a five-factor asset pricing model954 cited
  • 2005International Stock Return Comovements860 cited
  • 1994Does industrial structure explain the benefits of international diversification?746 cited
  • 2009Global market integration: An alternative measure and its application☆621 cited
  • 2002Are Financial Assets Priced Locally or Globally?548 cited
  • 2007Characterizing World Market Integration through Time

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