Bali, Turan G.; Cakici, Nusret - In: Journal of Banking & Finance 34 (2010) 6, pp. 1152-1165
This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic risk are priced in an international capital asset pricing model (ICAPM). Portfolio-level analyses, country-level cross-sectional regressions, stacked time-series, and pooled panel...