Using extensive and comprehensive databases to select a subset of research papers, we
aim to critically analyze previous empirical studies to identify certain patterns in determining …

Correlations between US stocks and the aggregate US market are much greater for
downside moves, especially for extreme downside moves, than for upside moves. We …

The purpose of this paper is to contribute to the literature on stock markets and energy prices
by studying the impact of oil price changes on a large set of emerging stock market returns …

That the returns on financial assets and insurance claims are not well described by the
multivariate normal distribution is generally acknowledged in the literature. This paper …

Emerging markets have long posed a challenge for finance. Standard models are often ill
suited to deal with the specific circumstances arising in these markets. However, the interest …

In this paper, we examine value and momentum effects in 18 emerging stock markets. Using
stock level data from January 1990 to December 2011, we find strong evidence for the value …

Much has been learned about emerging markets finance over the past 20 years. These
markets have attracted a unique interdisciplinary interest that bridges both investment and …

We develop a classification methodology for the context and content of news articles to
predict risk and return in stock markets in 51 developed and emerging economies. A …

Returns on international equities are characterized by jumps; moreover, these jumps tend to
occur at the same time across countries leading to systemic risk. We capture these stylized …

In this paper, we develop a portfolio selection model which allocates financial assets by
maximising expected return subject to the constraint that the expected maximum loss should …