Time-Varying Market Integration and Expected Returns in Emerging Markets

By Frank de Jong, Frans A. de Roon. 2005

234 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5db7c78c0da458115779de51f6f374a19b004e2c

Citations in the corpus

• Do Foreigners Facilitate Information Transmission in Emerging Markets (2012, unknown): “better than foreign traders (Hau, 2001; Choe, Kho, and Stulz, 2005; Dvorak, 2005). Similarly, using analysts’ earnings forecast data, Bae, Stulz, and Tan (2008) show that local analysts forecast earnings more accurately than foreign analysts.”
• Liquidity and Expected Returns: Lessons from Emerging Markets (2007, unknown): “(2005); Martinez et al. (2005); Sadka (2006) for recent empirical work).”
• Privatization and Stock Market Liquidity (2007, unknown): “A burgeoning empirical literature has shown the effects of such liberalization on equity prices, the cost of capital, investment, and systemic liquidity (Henry, 2000; Stulz, 1999; Bekaert and Harvey, 2000; De Jong and De Roon, 2005; Jain-Chandra, 2002; Patro and Wald, 2005).”