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The determinants of stock returns in a small open economy
16 references·2 citing·38 second hop
The determinants of stock returns in a small open economy (2003)The determinants of stock returns in a sm…Triumph of the Optimists (2002)Triumph of the OptimistsAre Financial Assets Priced Locally or Globally? (2002)Are Financial Assets Priced L…Trying to Explain Home Bias in Equities and Consumption (1999)Trying to Explain Home Bias i…Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Alternative factor specificat…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…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…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…The Pricing of Exchange Rate Risk in the Stock Market (1991)The Pricing of Exchange Rate …Stock Returns and Real Activity: A Century of Evidence (1990)Stock Returns and Real Activi…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…International Asset Pricing under Mild Segmentation: Theory and Test (1985)International Asset Pricing u…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Asset returns and inflation (1977)Asset returns and inflationRisk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Risk Factors for the Swiss Stock Market (2008)Risk Factors for the Swiss St…Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies (2007)Regime Change and the Role of…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Common risk factors in the returns on stocks and bonds (1993)Breadth of ownership and stock returns (2002)Market liquidity as a sentiment indicator (2004)Short sales, institutional investors and the cross-section of stock returns (2005)The equity premium: A puzzle (1985)Investor Diversification and International Equity Markets (1991)The Penn World Table (Mark 5): An Expanded Set of International Comparisons, 1950-1988 (1991)Strategic Asset Allocation (2002)Winter Blues: A SAD Stock Market Cycle (2003)Effects on Financial Globalization on Developing Countries: Some Empirical Evidence (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)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)Expected stock returns and volatility (1987)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)An equilibrium model of the international capital market (1974)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Foundations of Finance. (1977)The market reaction to international cross-listings: evidence from Depositary Receipts (1999)Emerging markets finance (2003)What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide (2005)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)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Expected Stock Returns and Variance Risk Premia (2009)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1999Trying to Explain Home Bias in Equities and Consumption1,364 cited
  • 1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.11,197 cited
  • 1985International Asset Pricing under Mild Segmentation: Theory and Test1,021 cited
  • 1994Does industrial structure explain the benefits of international diversification?

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746 cited
  • 1990Stock Returns and Real Activity: A Century of Evidence733 cited
  • 2002Triumph of the Optimists659 cited
  • 1991The Pricing of Exchange Rate Risk in the Stock Market613 cited
  • 1995Time-Varying World Market Integration594 cited
  • 2002Are Financial Assets Priced Locally or Globally?548 cited
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    • 2008Risk Factors for the Swiss Stock Market30 cited
    • 2007Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies26 cited