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The paper presents an investigation of the equity beta risk of 23 Australian industry portfolios over the period 1974 to 1992. A comparison of domestic and international market model betas, favours the domestic risk measures, although the international counterparts are generally statistically...
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Recent studies have documented the growing economic and financial integration between countries. Among other things, this has led to the argument that greater integration results in higher bilateral correlations between returns on national stock markets. This study endeavours to link the two...
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