We review the international finance literature to assess the extent to which international
factors affect financial asset demands and prices. International asset-pricing models with …

Hundreds of papers and factors attempt to explain the cross-section of expected returns.
Given this extensive data mining, it does not make sense to use the usual criteria for …

We propose a measure of capital market integration arising from a conditional regime‐
switching model. Our measure allows us to describe expected returns in countries that are …

The emergence of new equity markets in Europe, Latin America, Asia, the Mideast and
Africa provides a new menu of opportunities for investors. These markets exhibit high …

This article proposes a new approach to evaluate contagion in financial markets. Our
measure of contagion captures the coincidence of extreme return shocks across countries …

The purpose of this paper is to contribute to the literature on stock markets and energy prices
by studying the impact of oil price changes on a large set of emerging stock market returns …

While two different streams of literature exist investigating 1) the relationship between oil
prices and emerging market stock prices and 2) the relationship between oil prices and …

This article examines whether country-specific or global versions of Fama and French's
three-factor model better explain time-series variation in international stock returns …

Using monthly returns for over 27,000 stocks from 49 countries over a three-decade period,
we show that a multifactor model that includes factor-mimicking portfolios based on …

The influence of oil price disturbances and geopolitical risk on stock returns and volatility
has been investigated by many scholars in different settings, though few of these have …