We find contagion effects are present in US small size portfolios during emerging market crises due to risk and liquidity concerns. Investors display flight from risk during emerging market crises, and as a result, safer larger stocks exhibit positive abnormal returns. We find little evidence of...

We examine the ability of one- and two-factor regime switching models to describe US, developed, and emerging market mutual fund returns. We find that a two-factor fixed transition probability model adequately describes the multivariate series of mutual fund returns without the need to model...

Conditional asset pricing models within the risk-return literature describe a relation between expected risk and return for period t + 1, with expectations formed during period t. Existing risk estimates in the literature are formed using backward looking measures during period t, which are...

The Capital Asset Pricing Model (CAPM) describes a relationship between risk and expected forward-looking returns. Existing research tests the model using realized returns as the proxy for exante expectations. However, recent studies cast doubt on the ability of expost observed returns to proxy...

We extend the Pukthuanthong and Roll (2009) measure of integration to provide an estimate of systemic risk within international equity markets. Our measure indicates an increasing likelihood of market crashes. The conditional probability of market crashes increases substantially following...

This study identifies periods of turbulence within financial markets. Capital Asset Pricing Model (CAPM) betas estimated during tranquil periods exhibit little relation between estimated risk and average returns, and further, a majority of considered portfolios exhibit significant abnormal...

We provide an analysis of frontier market equities with respect to world market integration and diversification. Principal component results reveal that frontier markets exhibit low levels of integration. In contrast with developed and emerging markets, frontier markets offer no indication of...