Time-varying market integration and expected returns in emerging markets
Article Abstract:
A detailed analysis of market integration, based on data from 30 emerging stock markets, is presented. The framing of an international asset pricing model with partly sectioned stock markets is attempted.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2005
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On the role of arbitrageurs in rational markets
Article Abstract:
Importance and role of arbitrageurs in asset pricing, determination of margin profits and in risk-sharing sectors of non-competitive markets are discussed.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2006
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Asset pricing with unforeseen contingencies
Article Abstract:
Using an equilibrium concept, the impact of aggregate consumption shocks on asset pricing factors is analyzed.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2006
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