Erasmus university rotterdam

REFERENCES

Baig, T. and Goldfajn, I. (1998). Financial market contagion in the Asian crisis. IMF working paper, 98, 155.

Banz, R.W. (1981). The relationship between return and market value of common stocks. Jounal of Financial Economics, 9, 3-18.

Basu, S. (1977). Investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient market hypothesis. The Journal of Finance, 32 (3), 663-682.

Basu, S. (1983). The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence. Journal of Financial Economics, 12, 129-156.

Bekaert, G., Erb, C.B., Harvey, C.R., and Viskanta, T.E. (1998). Distributional characteristics of emerging market returns and asset allocation. The Journal of Portfolio Management, 24 (2), 102-116.

Bennaceur, S. and Chaibi, H. (2007). The best asset pricing model for estimating cost of equity: evidence from the stock exchange of Tunisia. IMF working paper.

Benserud, M. & Austgulen, H. (2006). Valuation in emerging markets. How to adjust the cost of capital for country risk. Master thesis

Bodnar, G.M, Dumas, B. and Marston R.C. (2003), Cross-border valuation: the international cost of equity capital. NBER Working Paper, 10115.

Bruner, R.F., Conroy, R.M., Li, W., O’Halloran, E.F., Lleras, M.P. (2003). Investing in Emerging Markets. The Research Foundation, The Association for Investment Management and Research, Charlottesville.

Bruner, R.F., Li, W., Kritzman, M., Mygren, S., and Page, S. (2008). Market integration in developed and emerging markets: evidence from the CAPM. Emerging Markets Review, 9, 89-103.

Carhart, M.M. (1997). On persistence on mutual fund performance. Journal of Finance, 52, 57-82.

Cheng, A., Jahan-Pavar, M.R. and Rothman, P. (2009). An empirical investigation of stock market behavior in the Middle East. Working Paper, UC Santa Cruz and East Carolina University, 1-25.

Copeland, T., Koller, T. and Murrin, J. (1994). Valuation: measuring and managing the value of companies, New York: Wiley.

Damodaran, A., 2000a. Valuation. Stern School of Business

Darlington, R.B (1970). Is kurtosis really “peakedness”? The American Statistician, 24, 19-22.

DeBondt, W.F.M. and Thaler, R.H. (1985). Does the stock market overreact. Journal of Finance, 40, 793-805.

Dittmar, R. (2002). Nonlinear pricing kernels, kurtosis preference and cross-section of equity returns. Journal of Finance, 57, 369-403.

Elton, E., Gruber, M., Brown, S., and Goetzmann, W. (2003). Modern portfolio theory and investment analysis (6th ed.). New York: Wiley.

Erb, C.B., Harvey, C.R., Viskanta, T.E. (1995). Country risk and global equity selection. Journal of Portfolio Management, 21, 74–83.

Erb, C.B., Harvey, C.R., Viskanta, T.E. (1996). Expected returns and volatility in 135 countries. Journal of Portfolio Management, 22, 46– 58.

Erb, C.B., Harvey, C.R., Viskanta, T.E. (1996). Political risk, economic risk and financial risk. Financial Analysts Journal, 29-46.

Estrada, J. (2000). The cost of equity in emerging markets: a downside risk approach. Emerging Markets Quarterly, 4, 19–30.

Fama, E. F. and MacBeth, J.D. (1973).Risk, Return and Equilibrium: Empirical Tests. Journal of Political Economy, 81, 607-636.

Fama, E. F. and French, K.R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, 47, 427-465.

Fama, E. F., and French, K.R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33, 3-56.

Fama, E.F. and French, R.F. (1996). The CAPM is wanted, dead or alive. Journal of Finance, 51, 1947-1958.

Galagedera, D.U.A. (2006). An alternative perspective on the relationship between downside beta and CAPM beta. Emerging Markets Review, 8, 4-19.

Graham, J. and Harvey, C. (2001). The theory and practice of corporate finance: evidence from the field. Journal of Financial Economics, 60, 187-243.

Godfrey, S., Espinosa, R. (1996). A practical approach to calculating costs of equity for investments in emerging markets. Journal of Applied Corporate Finance, Fall, 80–89.

Harvey, C.R. (1995). Predictable risk and returns in emerging markets. Review of Financial Studies, 8, 773–816.

Harvey, C.R. and Siddique, A. (2000). Conditional skewness in asset pricing tests. Journal of Finance, 55, 1263-1295.

Hoyer-Ellefsen, R. (2004). Characteristics of emerging markets. Investing in Emerging Markets, Technical note, 1, 1-27.

Jagannathan, R. and Wang, Z. (1996). The conditional CAPM and the cross-section of expected returns. Journal of Finance, 51, 3-53.

Jegadeesh, N. and Titman, S. (1993). Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance, 48, 65-91.

Jegadeesh, N. and Titman, S. (2001). Profitability of momentum strategies: an evaluation of alternative explanations. Journal of Finance, 56 (2), 699-720.

Keck, T., Levengood, E., Longfield, A. (1998). Using discounted flow analysis in an international setting: a survey of issues in modeling the cost of capital. Journal of Applied Corporate Finance, 11, 82–99.

Koedijk, K.G., Kool, C.J.M., Schotman, P.C., van Dijk, M.A. (2002). The cost of capital in international markets: local or global? Journal of International Money and Finance, 21, 905–929.

Kraus, A. and Litzenberg, R. (1976). Skewness preference and the valuation of risk assets. Journal of Finance, 31, 1085-1100.

Lakonishok, J., Shleifer, A. and Vishny, R. (1994). Contrarian investment, extrapolation and risk. The Journal of Finance, 49, 1541-1578.

Lessard, D. (1996). Incorporating country risk in the valuation of offshore projects. Journal of Applied Corporate Finance, 9, 52–63.

Lettau, M. and Ludvigson, S. (2001). Resurrecting the C (CAPM): A cross-sectionnal test when risk premia are time-varying. Journal of Political Economy, 109, 1238-1287.

Levine, R. (1997). Financial development and economic growth: views and agenda. Journal of Economics Literature, XXXV, 688-726

Lintner, J. (1965). Security Prices, Risk and Maximal Gains from Diversification. Journal of Finance, 20, 587-615.

Michailidis, G., Tsopogluo, S., Papanastasiou, D., and Mariola, E., (2006). Testing the capital asset pricing model CAPM:the case of emerging Greek securities market. International research journal of Finance and Economics, 4, 78-91.

Mirsha, D.and O'Brien, T. (2001). A comparison of cost of equity estimates of local and global CAPMs. The Financial Review, 36, 27–48.

Mossin, J. (1966). Equilibrium in a capital asset market. Econometric, 34, 768-783.

O’Brien, T.J., (1999). The global CAPM and a firm’s cost of capital in different currencies. Journal of Applied Corporate Finance, 12, 73–79.

Omran, M. F. (2007). An analysis of the capital asset pricing model in the Egyptian stock market. The Quarterly Review of Economics and Finance, 46, 801-812.

Pereiro, L.E. (2001). The valuation of closely-held companies in Latin America. Emerging Markets Review, 2, 330-370.

Pereiro, L.E. (2002). Valuation of Companies in Emerging Markets: a Practical Approach. Wiley, New York.

Roll, R. (1977). A critique of the asset pricing theory’s tests, part 1: on past and potential testability of the theory. Journal of Financial Economics, 4, 129-176.

Rosenberg, B., Reid, K. and Lanstein, R. (1985). Persuasive evidence of market inefficiency. Journal of Portfolio Management, 11, 9-17.

Sharpe, W. F. (1964). Capital Asset Prices: A Theory of market Equilibrium under Condition of Risk. Journal of Finance, 19, 425-442.

Stulz, R.M., 1999. International portfolio flows and security markets. In: Feldstein, M. (Ed.), International Capital Flows. National Bureau of Economic Research and University of Chicago Press, 257–293.