We construct a state-dependent trivariate GARCH-M model to extract state-dependent risk-aversion coefficients around the 1997-1999 financial meltdown. These coefficients are further used to decompose sector risk into global (systematic), country-specific (diversifiable through global country...

This paper examines the relationships between market risk premiums, time-varying variance and covariance in forty-eight emerging, and seven developed capital markets. We allow each market's risk premium generating process to be state-dependent by accounting for negative and positive market price...

This article investigates the risk-return relations of stocks traded in frontier markets, a class of small, illiquid, less accessible and less known emerging markets that has escaped the attention of many researchers. We examine the cross-section of risk premiums of 360 stocks traded in 19...