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International asset pricing under segmentation and PPP deviations

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  • Chaieb, Ines
  • Errunza, Vihang

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  • Chaieb, Ines & Errunza, Vihang, 2007. "International asset pricing under segmentation and PPP deviations," Journal of Financial Economics, Elsevier, vol. 86(2), pages 543-578, November.
    • Handle: RePEc:eee:jfinec:v:86:y:2007:i:2:p:543-578
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    Cited by:

    1. Mohanty, Sunil & Nandha, Mohan & Bota, Gabor, 2010. "Oil shocks and stock returns: The case of the Central and Eastern European (CEE) oil and gas sectors," Emerging Markets Review, Elsevier, vol. 11(4), pages 358-372, December.
    2. Boubakri, Salem & Couharde, Cécile & Raymond, Hélène, 2016. "Effects of financial turmoil on financial integration and risk premia in emerging markets," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 120-138.
    3. Lau, Sie Ting & Ng, Lilian & Zhang, Bohui, 2010. "The world price of home bias," Journal of Financial Economics, Elsevier, vol. 97(2), pages 191-217, August.
    4. Antell, Jan & Vaihekoski, Mika, 2012. "Pricing currency risk in the stock market: Evidence from Finland and Sweden 1970–2009," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 120-136.
    5. Salem Boubakri & Cécile Couharde & Hélène Raymond, 2014. "Financial integration, financial turmoil and risk premia in emerging markets," EconomiX Working Papers 2014-52, University of Paris Nanterre, EconomiX.
    6. Bai, Ye & Green, Christopher J., 2020. "Country and industry factors in tests of Capital Asset Pricing Models for partially integrated emerging markets," Economic Modelling, Elsevier, vol. 92(C), pages 180-194.
    7. Eduardo Walker, 2016. "Cost of Capital in Emerging Markets: Bridging Gaps between Theory and Practice," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 53(1), pages 111-147, December.
    8. Evans, Martin D.D. & Hnatkovska, Viktoria V., 2014. "International capital flows, returns and world financial integration," Journal of International Economics, Elsevier, vol. 92(1), pages 14-33.
    9. Walid Chkili, 2012. "Is currency risk priced for emerging stock markets?," Economics Bulletin, AccessEcon, vol. 32(3), pages 2267-2280.
    10. Bruno Solnik & Luo Zuo, 2012. "A Global Equilibrium Asset Pricing Model with Home Preference," Management Science, INFORMS, vol. 58(2), pages 273-292, February.
    11. Chung, Hyunchul & Majerbi, Basma & Rizeanu, Sorin, 2015. "Exchange risk premia and firm characteristics," Emerging Markets Review, Elsevier, vol. 22(C), pages 96-125.
    12. Lamia SEBAI & siwar ELLOUZ, 2022. "Variation de risque mondial, local et de change sur les marches boursiers," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 13(2), pages 2-13, December.
    13. Sema Bayraktar, 2009. "The impact of exchange rate risk on international asset pricing under various market structures," Review of Quantitative Finance and Accounting, Springer, vol. 32(2), pages 169-195, February.
    14. Maurer, Thomas & Tran, Ngoc-Khanh, 2021. "Entangled risks in incomplete FX markets," Journal of Financial Economics, Elsevier, vol. 142(1), pages 146-165.
    15. Saleem, Kashif & Vaihekoski, Mika, 2010. "Time-varying global and local sources of market and currency risks in Russian stock market," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 686-697, October.
    16. Krapl, Alain A., 2020. "The time-varying diversifiability of corporate foreign exchange exposure," Journal of Corporate Finance, Elsevier, vol. 65(C).
    17. Barclay, Richard & Fletcher, Jonathan & Marshall, Andrew, 2010. "Pricing emerging market stock returns: An update," Emerging Markets Review, Elsevier, vol. 11(1), pages 49-61, March.
    18. Adam Zaremba, 2017. "Combining Equity Country Selection Strategies," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 11(1), March.
    19. Moerman, Gerard A. & van Dijk, Mathijs A., 2010. "Inflation risk and international asset returns," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 840-855, April.
    20. Ines Chaieb & Vihang Errunza & Basma Majerbi, 2013. "Do emerging markets provide currency diversification benefits?," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 5(1/2), pages 102-120.
    21. Bali, Turan G. & Cakici, Nusret, 2010. "World market risk, country-specific risk and expected returns in international stock markets," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1152-1165, June.

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