international equity transactions that accentuate the role of international risk sharing as a factor for the macroeconomic response … shock affecting only one country. Efficient global risk-sharing imply that expected productivity gains in one country will … for the productivity gains can further increase the risk exposure of foreign shareholders. The model is calibrated to show …

international equity transactions that accentuate the role of international risk sharing as a factor for the macroeconomic response … shock affecting only one country. Efficient global risk-sharing imply that expected productivity gains in one country will … for the productivity gains can further increase the risk exposure of foreign shareholders. The model is calibrated to show …

In this paper we examine risk-return trade-off of investing in Latin American emerging stock markets. In particular … high returns for a relatively low level of risk when combined into a portfolio of Canadian shares. Optimal portfolios were … derived based on historic (ex-post) observations and evaluated utilizing the mean return per unit of risk (MRPUR) performance …

emerging-market leverage, there is little systematic research on factors that impact corporate distress risk in emerging … markets. Existing bankruptcy risk models developed using US data have low predictive power when applied to emerging market … economy monetary policy changes, US dollar movements, or shifts in global liquidity and risk-aversion. A novel multi …

Motivated by Huang et al.'s (2013) recent arguments, we empirically examine the risk-return tradeoff in a liberalized … for market volatility over the study time. Our results contribute that the idiosyncratic risk plays an unimportant role in …

This paper investigates tail risk in emerging stock markets by comparing the investable and noninvestable segments in … Student-t GJR-GARCH model and the symmetrized Joe-Clayton copula, we show most investable portfolios have lower tail risk but …

equities. We find that global financial crisis induced changes to domestic and international investors' appetite for risk …

the possibilities of reduction of a portfolio risk. A special attention is granted to the analysis during the pandemic … analysed enables the making of arbitrages in order to reduce the risk of a portfolio. The results obtained are important in the …

Conventional Value-at-risk (VaR) models tend to underestimate stock market losses, as they assume normality and fail to … markets from Latin America, Brazil and Mexico; a conditional VaR (CVaR) model is applied to determine risk exposure from … precise and robust information about financial risk than conventional parametric estimations …