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Time-varying market integration and expected returns in emerging markets

Article Abstract:

A detailed analysis of market integration, based on data from 30 emerging stock markets, is presented. The framing of an international asset pricing model with partly sectioned stock markets is attempted.

Author: Roon, Frans A. de, Jong, Frank de
Publisher: Elsevier B.V.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2005
Market segmentation, Stock markets, Stock market

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On the role of arbitrageurs in rational markets

Article Abstract:

Importance and role of arbitrageurs in asset pricing, determination of margin profits and in risk-sharing sectors of non-competitive markets are discussed.

Author: Basaka, Suleyman, Croitoru, Benjamin
Publisher: Elsevier B.V.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2006
Science & research, Research, Arbitrage, Margins (Futures trading)

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Asset pricing with unforeseen contingencies

Article Abstract:

Using an equilibrium concept, the impact of aggregate consumption shocks on asset pricing factors is analyzed.

Author: Kraus, Alan, Sagi, Jacob S.
Publisher: Elsevier B.V.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2006
United States, Usage, Consumption (Economics), Equilibrium (Economics)

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Subjects list: United Kingdom, Analysis, Asset valuation, Canada
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