International Capital Markets

Edited by G. Andrew Karolyi, Professor of Finance and Global Business and Alumni Chair in Asset Management, S.C. Johnson Graduate School of ManagementCornell University, US and René M. Stulz, Everett Reese Chair of Banking and Monetary Economics and Professor of Finance, Ohio State University, US

• Contents:Volume I:AcknowledgementsForeword Richard RollIntroduction G. Andrew Karolyi and René M. Stulz PART ITHEORIES OF INTERNATIONAL PORTFOLIO CHOICE AND ASSET PRICING 1. Bruno H. Solnik (1974), ‘An Equilibrium Model of the International Capital Market’2. Piet Sercu (1980), ‘A Generalization of the International Asset Pricing Model’3. Frederick L.A. Grauer, Robert H. Litzenberger and Richard E. Stehle (1976), ‘Sharing Rules and Equilibrium in an International Capital Market Under Uncertainty’4. Michael Adler and Bernard Dumas (1983), ‘International Portfolio Choice and Corporation Finance: A Synthesis’5. René M. Stulz (1981), ‘A Model of International Asset Pricing’6. Bruno Solnik (1983), ‘International Arbitrage Pricing Theory’PART IIEMPIRICAL EVIDENCE ON INTERNATIONAL ASSET PRICING MODELS 7. Richard Stehle (1977), ‘An Empirical Test of the Alternative Hypotheses of National and International Pricing of Risky Assets’8. Simon Wheatley (1988), ‘Some Tests of International Equity Integration’9. D. Chinhyung Cho, Cheol S. Eun and Lemma W. Senbet (1986), ‘International Arbitrage Pricing Theory: An Empirical Investigation’10. Robert A. Korajczyk and Claude J. Viallet (1989), ‘An Empirical Investigation of International Asset Pricing’11. Campbell R. Harvey (1991), ‘The World Price of Covariance Risk’12. Geert Bekaert and Robert J. Hodrick (1992), ‘Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets’13. K.C. Chan, G. Andrew Karolyi and René M. Stulz (1992), ‘Global Financial Markets and the Risk Premium on U.S. Equity’14. Wayne E. Ferson and Campbell R. Harvey (1993), ‘The Risk and Predictability of International Equity Returns’15. Giorgio De Santis and Bruno Gérard (1997), ‘International Asset Pricing and Portfolio Diversification with Time-Varying Risk’Name IndexVolume II:AcknowledgementsAn introduction by the editors to all three volumes appears in Volume IPART IINTERNATIONAL PORTFOLIO DIVERSIFICATION1. Herbert G. Grubel (1968), ‘Internationally Diversified Portfolios: Welfare Gains and Capital Flows’2. Haim Levy and Marshall Sarnat (1970), ‘International Diversification of Investment Portfolios’3. Bruno H. Solnik (1974), ‘Why Not Diversify Internationally Rather Than Domestically?’4. Cheol S. Eun and Sangdal Shim (1989), ‘International Transmission of Stock Market Movements’5. Yasushi Hamao, Ronald W. Masulis and Victor Ng (1990), ‘Correlations in Price Changes and Volatility across International Stock Markets’6. François Longin and Bruno Solnik (1995), ‘Is the Correlation in International Equity Returns Constant: 1960–1990?’7. Geert Bekaert and Michael S. Urias (1996), ‘Diversification, Integration and Emerging Market Closed-End Funds’8. Ingrid M. Werner and Allan W. Kleidon (1996), ‘U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration’9. Richard Roll (1992), ‘Industrial Structure and the Comparative Behavior of International Stock Market Indices’10. Steven L. Heston and K. Geert Rouwenhorst (1994), ‘Does Industrial Structure Explain the Benefits of International Diversification?’11. Vihang Errunza, Ked Hogan and Mao-Wei Hung (1999), ‘Can the Gains from International Diversification Be Achieved without Trading Abroad?’12. Philippe Jorion and William N. Goetzmann (1999), ‘Global Stock Markets in the Twentieth Century’PART IIINTEREST RATES AND EXCHANGE RATES 13. Robert E. Lucas, Jr. (1982), ‘Interest Rates and Currency Prices in a Two-country World’14. Fischer Black (1990), ‘Equilibrium Exchange Rate Hedging’15. Jeremy J. Siegel (1972), ‘Risk, Interest Rates and the Forward Exchange’16. Bruno Solnik (1993), ‘Currency Hedging and Siegel’s Paradox: On Black’s Universal Hedging Rule’17. Lars Peter Hansen and Robert J. Hodrick (1980), ‘Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis’18. Eugene F. Fama (1984), ‘Forward and Spot Exchange Rates’19. Nelson C. Mark (1988), ‘Time-varying Betas and Risk Premia in the Pricing of Forward Foreign Exchange Contracts’20. Philippe Jorion (1991), ‘The Pricing of Exchange Rate Risk in the Stock Market’21. Antti Ilmanen (1995), ‘Time-Varying Expected Returns in International Bond Markets’22. Jack Glen and Philippe Jorion (1993), ‘Currency Hedging for International Portfolios’23. Bernard Dumas and Bruno Solnik (1995), ‘The World Price of Foreign Exchange Risk’24. Giorgio De Santis and Bruno Gérard (1998), ‘How Big is the Premium for Currency Risk?’25. Geert Bekaert and Robert J. Hodrick (2001), ‘Expectations Hypotheses Tests’Name IndexVolume III:AcknowledgementsAn introduction by the editors to all three volumes appears in Volume IPART ITHEORIES OF BARRIERS TO INTERNATIONAL INVESTMENTS 1. Fischer Black (1974), ‘International Capital Market Equilibrium with Investment Barriers’2. René M. Stulz (1981), ‘On the Effects of Barriers to International Investment’3. Vihang Errunza and Etienne Losq (1985), ‘International Asset Pricing under Mild Segmentation: Theory and Test’4. Cheol S. Eun and S. Janakiramanan (1986), ‘A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership’PART IIEMPIRICAL EVIDENCE OF IMPACT OF BARRIERS TO INTERNATIONAL INVESTMENTS 5. Pekka T. Hietala (1989), ‘Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market’6. Warren Bailey and Julapa Jagtiani (1994), ‘Foreign Ownership Restrictions and Stock Prices in the Thai Capital Market’7. René M. Stulz and Walter Wasserfallen (1995), ‘Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence’8. Catherine Bonser-Neal, Greggory Brauer, Robert Neal and Simon Wheatley (1990), ‘International Investment Restrictions and Closed-End Country Fund Prices’9. Steven R. Foerster and G. Andrew Karolyi (1999), ‘The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States’10. Geert Bekaert and Campbell R. Harvey (1995), ‘Time-Varying World Market Integration’11. Geert Bekaert and Campbell R. Harvey (2000), ‘Foreign Speculators and Emerging Equity Markets’12. Peter Blair Henry (2000), ‘Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices’PART IIIINTERNATIONAL CAPITAL FLOWS 13. Henning Bohn and Linda L. Tesar (1996), ‘U.S. Equity Investment in Foreign Markets: Portfolio Rebalancing or Return Chasing?’14. Michael J. Brennan and H. Henry Cao (1997), ‘International Portfolio Investment Flows’15. Kenneth A. Froot, Paul G.J. O’Connell and Mark S. Seasholes (2001), ‘The Portfolio Flows of International Investors’PART IVANOMALIES IN INTERNATIONAL CAPITAL MARKETS 16. Ian Cooper and Evi Kaplanis (1994), ‘Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium’17. Linda L. Tesar and Ingrid M. Werner (1995), ‘Home Bias and High Turnover’18. Jun-Koo Kang and René M. Stulz (1997), ‘Why Is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan’19. Kenneth R. French and James M. Poterba (1991), ‘Investor Diversification and International Equity Markets’20. Thomas Gehrig (1993), ‘An Information Based Explanation of the Domestic Bias in International Equity Investment’21. Eugene F. Fama and Kenneth R. French (1998), ‘Value versus Growth: The International Evidence’22. K. Geert Rouwenhorst (1998), ‘International Momentum Strategies’23. Kenneth A. Froot and Emil M. Dabora (1999), ‘How are Stock Prices Affected by the Location of Trade?’24. Mark Grinblatt and Matti Keloharju (2001), ‘How Distance, Language, and Culture Influence Stockholdings and Trades’Name Index