Does Total Risk Matter? The Case of Emerging Markets
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- Type
- article
- Published
- 2006-03-01
- Cited by
- 6
- References
- 42
- Access
- Open access
- OpenAlex
- https://openalex.org/W1504534348
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:54843018
Keywords
Variance (accounting), Variance risk premium, Market risk, Emerging markets, Economics
References
- The future of investment in emerging markets
- Information Content of Earnings in the Emerging Capital Market: Evidence from the Warsaw Stock Exchange
- Stock Returns and Volatility
- Is the ex ante risk premium always positive?: A new approach to testing conditional asset pricing models
- Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks
- The Cost of Equity in Emerging Markets: A Downside Risk Approach
- An Empirical Investigation of International Asset Pricing
- SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS
- Expected stock returns and volatility
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Multivariate Simultaneous Generalized ARCH
- On the conditional relationship between beta and return in international stock returns
- Time-Varying World Market Integration
- An examination of the cross-sectional relationship of beta and return: UK evidence
- Pacific Basin stock markets and international capital asset pricing
- Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction
- International Asset Pricing and Portfolio Diversification with Time‐Varying Risk
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
- A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu
Cited by
- Interest Rate and Foreign Exchange Sensitivity of Bank Stock Returns: Evidence from China
- Booms and Busts as Exchange Options
- Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets
- The Relative Importance of Global, Country and Sector Risks
- The reliability of geometric Brownian motion forecasts of S&P500 index values
- Time Dependence of CAPM Betas on the Choice of Interval Frequency and Return Timeframes: Is There an Optimum?
- Booms and Busts as Exchange Options
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