This paper examines the role of the world market, the home market, and exchange rate factors in the conditional pricing of a sample of 80 American Depository Receipts (ADRs) from 11 developed markets. Estimations based on a Multivariate GARCH in mean (MGARCH-M) model find that changes over time...

This paper examines the role of the world market, the home market, and exchange rate factors in the conditional pricing of a sample of 80 American Depository Receipts (ADRs) from 11 developed markets. Estimations based on a Multivariate GARCH in mean (MGARCH-M) model find that changes over time...

The study analyses the effect of operating and financial risk and other factors such as profitability, liquidity, dividend payout, size and growth on systematic risk for Greek listed firms, after Greece's entrance in the Monetary Union. The study also examines whether the explanatory power of...