Global Equity Correlation in International Markets
Published Online:21 May 2021https://doi.org/10.1287/mnsc.2020.3780
References
- (2013) Value and momentum everywhere. J. Finance 68(3):929–985.Crossref, Google Scholar
- (2016) What do asset prices have to say about risk appetite and uncertainty? J. Banking Finance 67:103–118.Crossref, Google Scholar
- (2019) The time variation of risk appetite and uncertainty. Working paper, Columbia University, New York.Google Scholar
- 2011. Sovereign risk premia. Working paper, Massachusetts Institute of Technology, Cambridge.Google Scholar
- (2009) Carry trades and currency crashes. NBER Macroeconom. Annual 23:313–347.Crossref, Google Scholar
- (2011b) Carry trade and momentum in currency markets. Annual Rev. Financial Econom. 3:511–535.Crossref, Google Scholar
- (2011a) Do peso problems explain the returns to the carry trade? Rev. Financial Stud. 24(3):853–891.Crossref, Google Scholar
- (1999) By force of habit: A consumption-based explanation of aggregate stock market behavior. J. Political Econom. 107(2):205–251.Crossref, Google Scholar
- (2016) What do stock markets tell us about exchange rates? Rev. Finance 20(3):1045–1080.Crossref, Google Scholar
- (2008) Two trees. Rev. Financial Stud. 21:347–385.Crossref, Google Scholar
- (2013) The puzzle of index option returns. Rev. Asset Pricing Stud. 3(2):229–257.Crossref, Google Scholar
- (2016) Volatility risk premia and exchange rate predictability. J. Financial Econom. 120(1):21–40.Crossref, Google Scholar
- (2009) The price of correlation risk: Evidence from equity options. J. Finance 64(3):1377–1406.Crossref, Google Scholar
- (1995) The world price of foreign exchange risk. J. Finance 50(2):445–479.Crossref, Google Scholar
- (2012) Dynamic equicorrelation. J. Bus. Econom. Statist. 30(2):212–228.Crossref, Google Scholar
- (1998) Value vs. growth: The international evidence. J. Finance 53(6):1975–1999.Crossref, Google Scholar
- (1982) Large sample properties of generalized method of moments estimators. Econometrica 50(4):1029–1054.Crossref, Google Scholar
- (2013) Country size, currency unions, and international asset returns. J. Finance 68(6):2269–2308.Crossref, Google Scholar
- (2006) Exchange rates, equity prices, and capital flows. Rev. Financial Stud. 19(1):273–317.Crossref, Google Scholar
- (2017) Intermediary asset pricing: New evidence from many asset classes. J. Financial Econom. 126(1):1–35.Crossref, Google Scholar
- (2011) What factors drive global stock returns? Rev. Financial Stud. 24(8):2527–2574.Crossref, Google Scholar
- (2006) Individual equity return data from Thomson Datastream: Handle with care! J. Financial Res. 29(4):463–479.Crossref, Google Scholar
- (2005) Model-free implied volatility and its information content. Rev. Financial Stud. 18(4):1305–1342.Crossref, Google Scholar
- (2014) Crash neutral currency carry trades. J. Financial Econom. 113(3):325–347.Crossref, Google Scholar
- (1999) Two-pass tests of asset pricing models with useless factors. J. Finance 54(1):203–235.Crossref, Google Scholar
- (2013) Pricing model performance and the two-pass cross-sectional regression methodology. J. Finance 68(6):2617–2649.Crossref, Google Scholar
- (2012) Understanding commonality in liquidity around the world. J. Financial Econom. 105(1):82–112.Crossref, Google Scholar
- (2018) Carry. J. Financial Econom. 127(2):197–225.Crossref, Google Scholar
- (2014) Conditional risk premia in currency markets and other asset classes. J. Financial Econom. 114(2):197–225.Crossref, Google Scholar
- (2017) Variance risk premiums and the foreward premium puzzle. J. Financial Econom. 124(2):415–440.Crossref, Google Scholar
- (2011) Common risk factors in currency markets. Rev. Financial Stud. 24:3731–3777.Crossref, Google Scholar
- (2013) Liquidity in the foreign exchange market: Measurement, commonality, and risk premiums. J. Finance 68(5):1805–1841.Crossref, Google Scholar
- (2000) Option prices, implied price processes, and stochastic volatility. J. Finance 55:839–866.Crossref, Google Scholar
- 2013. The forward premium puzzle in a two-country world. Working paper, National Bureau of Economic Research Working, Cambridge, MA.Google Scholar
- (2012a) Carry trades and global foreign exchange volatility. J. Finance 67(2):681–718.Crossref, Google Scholar
- (2012b) Currency momentum strategy. J. Financial Econom. 106(3):660–684.Crossref, Google Scholar
- (2004) Understanding predictability. J. Political Econom. 112(1):1–47.Crossref, Google Scholar
- (2017) International correlation risk. J. Financial Econom. 126(2):270–299.Crossref, Google Scholar
- (1987) A simple, positive semi-definite heteroskedasticity and auto-correlation consistent covariance matrix. Econometrica 55(3):703–708.Crossref, Google Scholar
- (1994) Automatic lag selection in covariance matrix estimation. Rev. Econom. Stud. 61:631–653.Crossref, Google Scholar
- (2010) Monotonicity in asset returns: New tests with applications to the term structure, the CAPM and portfolio sorts. J. Financial Econom. 98(3):605–625.Crossref, Google Scholar
- (2010) Average correlation and stock market returns. J. Financial Econom. 96(3):364–380.Crossref, Google Scholar
- (2013) Dilemma not trilemma: The global financial cycle and monetary policy independence. Proc. Econom. Policy Sympos. (Federal Reserve of Kansas City, Kansas City, MO), 285–333.Google Scholar
- (1992) On the estimation of beta pricing models. Rev. Financial Stud. 5(1):1–55.Crossref, Google Scholar
- (2010) A habit-based explanation of the exchange rate risk premium. J. Finance 65(1):123–146.Crossref, Google Scholar
- (2006) A consumption-based model of the term structure of interest rates. J. Financial Econom. 79(2):365–399.Crossref, Google Scholar
- (2013) Investment shocks and the commodity basis spread. J. Financial Econom. 110(1):164–184.Crossref, Google Scholar
- (2021) Value return predictability across asset classes and commonalities in risk premia. Rev. Finance 25(2):449–484.Crossref, Google Scholar

