메뉴 건너뛰기




Volumn 28, Issue 4, 2009, Pages 671-695

A model of asset pricing under country risk

Author keywords

Asset pricing; Emerging market discount; Sovereign spread

Indexed keywords


EID: 64549086733     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2008.12.014     Document Type: Article
Times cited : (36)

References (82)
  • 1
    • 33646200768 scopus 로고    scopus 로고
    • Defaultable debt, interest rates and the current account
    • Aguiar M., and Gopinath G. Defaultable debt, interest rates and the current account. Journal of International Economics 69 (2006) 64-83
    • (2006) Journal of International Economics , vol.69 , pp. 64-83
    • Aguiar, M.1    Gopinath, G.2
  • 2
    • 38349176029 scopus 로고    scopus 로고
    • Agency conflicts, investment, and asset pricing
    • Albuquerque R., and Wang N. Agency conflicts, investment, and asset pricing. Journal of Finance 63 (2008) 1-40
    • (2008) Journal of Finance , vol.63 , pp. 1-40
    • Albuquerque, R.1    Wang, N.2
  • 3
    • 58149302923 scopus 로고    scopus 로고
    • Default risk and income fluctuations in emerging economies
    • Arellano, C., 2008. Default risk and income fluctuations in emerging economies. American Economic Review, 98, 690-712.
    • (2008) American Economic Review , vol.98 , pp. 690-712
    • Arellano, C.1
  • 5
  • 6
    • 84974313177 scopus 로고
    • Exchange rate fluctuations, political risk, and stock returns: some evidence from an emerging market
    • Bailey W., and Chung P. Exchange rate fluctuations, political risk, and stock returns: some evidence from an emerging market. Journal of Financial and Quantitative Analysis 30 (1995) 541-561
    • (1995) Journal of Financial and Quantitative Analysis , vol.30 , pp. 541-561
    • Bailey, W.1    Chung, P.2
  • 7
    • 0033275358 scopus 로고    scopus 로고
    • Foreign ownership restrictions and equity price premiums: what drives the demand for cross-border investments?
    • Bailey W., Chung P., and Kang J.K. Foreign ownership restrictions and equity price premiums: what drives the demand for cross-border investments?. Journal of Financial and Quantitative Analysis 34 (1999) 489-511
    • (1999) Journal of Financial and Quantitative Analysis , vol.34 , pp. 489-511
    • Bailey, W.1    Chung, P.2    Kang, J.K.3
  • 8
    • 0011618337 scopus 로고
    • Foreign ownership restrictions and stock prices in the Thai market
    • Bailey W., and Jagtiani J. Foreign ownership restrictions and stock prices in the Thai market. Journal of Financial Economics 36 (1994) 57-87
    • (1994) Journal of Financial Economics , vol.36 , pp. 57-87
    • Bailey, W.1    Jagtiani, J.2
  • 10
    • 77957186796 scopus 로고
    • Market integration and investment barriers in emerging equity markets
    • Bekaert G. Market integration and investment barriers in emerging equity markets. The World Bank Economic Review 9 (1995) 75-107
    • (1995) The World Bank Economic Review , vol.9 , pp. 75-107
    • Bekaert, G.1
  • 11
    • 84993905064 scopus 로고
    • Time-varying world market integration
    • Bekaert G., and Harvey C.R. Time-varying world market integration. Journal of Finance 50 (1995) 403-444
    • (1995) Journal of Finance , vol.50 , pp. 403-444
    • Bekaert, G.1    Harvey, C.R.2
  • 13
    • 0040212676 scopus 로고    scopus 로고
    • Foreign speculators and emerging equity markets
    • Bekaert G., and Harvey C.R. Foreign speculators and emerging equity markets. Journal of Finance 55 (2000) 565-614
    • (2000) Journal of Finance , vol.55 , pp. 565-614
    • Bekaert, G.1    Harvey, C.R.2
  • 14
    • 0036888982 scopus 로고    scopus 로고
    • Research in emerging markets' finance: looking to the future
    • Bekaert G., and Harvey C.R. Research in emerging markets' finance: looking to the future. Emerging Markets Review 3 (2002) 429-448
    • (2002) Emerging Markets Review , vol.3 , pp. 429-448
    • Bekaert, G.1    Harvey, C.R.2
  • 20
    • 0007980113 scopus 로고    scopus 로고
    • Optimal investment, growth options, and security returns
    • Berk J., Green R.C., and Naik V. Optimal investment, growth options, and security returns. Journal of Finance 54 (1999) 1553-1607
    • (1999) Journal of Finance , vol.54 , pp. 1553-1607
    • Berk, J.1    Green, R.C.2    Naik, V.3
  • 22
    • 0042761986 scopus 로고    scopus 로고
    • Tests of conditional asset pricing models in the Brazilian stock market
    • Bonomo M.A., and Garcia R. Tests of conditional asset pricing models in the Brazilian stock market. Journal of International Money and Finance 20 (2001) 71-90
    • (2001) Journal of International Money and Finance , vol.20 , pp. 71-90
    • Bonomo, M.A.1    Garcia, R.2
  • 23
    • 4344675434 scopus 로고    scopus 로고
    • Estimation and test of a simple model of intertemporal capital asset pricing
    • Brennan M.J., Wang A.W., and Xia Y. Estimation and test of a simple model of intertemporal capital asset pricing. Journal of Finance 69 (2004) 1743-1775
    • (2004) Journal of Finance , vol.69 , pp. 1743-1775
    • Brennan, M.J.1    Wang, A.W.2    Xia, Y.3
  • 24
    • 84936628561 scopus 로고
    • A constant recontracting model of sovereign debt
    • Bulow J., and Rogoff K.S. A constant recontracting model of sovereign debt. Journal of Political Economy 97 (1989) 155-178
    • (1989) Journal of Political Economy , vol.97 , pp. 155-178
    • Bulow, J.1    Rogoff, K.S.2
  • 27
    • 2942715122 scopus 로고    scopus 로고
    • Risk sharing and asset prices: evidence from a natural experiment
    • Chari A., and Henry P.B. Risk sharing and asset prices: evidence from a natural experiment. Journal of Finance 59 (2004) 1295-1324
    • (2004) Journal of Finance , vol.59 , pp. 1295-1324
    • Chari, A.1    Henry, P.B.2
  • 29
    • 0035188141 scopus 로고    scopus 로고
    • Option pricing and foreign investment under political risk
    • Cherian J.A., and Perotti E. Option pricing and foreign investment under political risk. Journal of International Economics 55 (2001) 359-377
    • (2001) Journal of International Economics , vol.55 , pp. 359-377
    • Cherian, J.A.1    Perotti, E.2
  • 30
    • 0030559739 scopus 로고    scopus 로고
    • Estimating the likelihood of Mexican default from the market prices of Brady bonds
    • Claessens S., and Pennacchi G. Estimating the likelihood of Mexican default from the market prices of Brady bonds. Journal of Financial and Quantitative Analysis 31 (1996) 109-126
    • (1996) Journal of Financial and Quantitative Analysis , vol.31 , pp. 109-126
    • Claessens, S.1    Pennacchi, G.2
  • 32
    • 46149128520 scopus 로고
    • Growth and external debt under risk of debt repudiation
    • Cohen D., and Sachs J. Growth and external debt under risk of debt repudiation. European Economic Review 30 (1985) 529-560
    • (1985) European Economic Review , vol.30 , pp. 529-560
    • Cohen, D.1    Sachs, J.2
  • 36
    • 0001453918 scopus 로고    scopus 로고
    • Market segmentation and stock prices: evidence from an emerging market
    • Domowitz I., Glen J., and Madhavan A. Market segmentation and stock prices: evidence from an emerging market. Journal of Finance 52 (1997) 1059-1085
    • (1997) Journal of Finance , vol.52 , pp. 1059-1085
    • Domowitz, I.1    Glen, J.2    Madhavan, A.3
  • 37
    • 0013065959 scopus 로고    scopus 로고
    • Modeling sovereign yield spreads: a case study of Russian debt
    • Duffie D., Pedersen L., and Singleton K.J. Modeling sovereign yield spreads: a case study of Russian debt. Journal of Finance 55 (2003) 119-159
    • (2003) Journal of Finance , vol.55 , pp. 119-159
    • Duffie, D.1    Pedersen, L.2    Singleton, K.J.3
  • 39
    • 84959777265 scopus 로고
    • Debt with potential repudiation: theoretical and empirical analyses
    • Eaton J., and Gersovitz M. Debt with potential repudiation: theoretical and empirical analyses. Review of Economic Studies 48 (1981) 289-389
    • (1981) Review of Economic Studies , vol.48 , pp. 289-389
    • Eaton, J.1    Gersovitz, M.2
  • 40
    • 0037317053 scopus 로고    scopus 로고
    • A simple measure of the intensity of capital controls
    • Edison H., and Warnock F. A simple measure of the intensity of capital controls. Journal of Empirical Finance 10 (2003) 81-103
    • (2003) Journal of Empirical Finance , vol.10 , pp. 81-103
    • Edison, H.1    Warnock, F.2
  • 45
    • 84944837552 scopus 로고
    • International asset pricing under mild segmentation: theory and test
    • Errunza V.R., and Losq E. International asset pricing under mild segmentation: theory and test. Journal of Finance 40 (1985) 105-124
    • (1985) Journal of Finance , vol.40 , pp. 105-124
    • Errunza, V.R.1    Losq, E.2
  • 46
    • 0034549667 scopus 로고    scopus 로고
    • Market segmentation and the cost of capital in international equity markets
    • Errunza V.R., and Miller D.P. Market segmentation and the cost of capital in international equity markets. Journal of Financial and Quantitative Analysis 35 (2000) 577-600
    • (2000) Journal of Financial and Quantitative Analysis , vol.35 , pp. 577-600
    • Errunza, V.R.1    Miller, D.P.2
  • 47
    • 64549124001 scopus 로고    scopus 로고
    • Discount rates in emerging markets: four models and an application
    • Estrada J. Discount rates in emerging markets: four models and an application. Journal of Applied Corporate Finance 19 (2007) 72-77
    • (2007) Journal of Applied Corporate Finance , vol.19 , pp. 72-77
    • Estrada, J.1
  • 49
    • 0003350474 scopus 로고    scopus 로고
    • No contagion, only interdependence: measuring stock market comovements
    • Forbes K.J., and Rigobon R. No contagion, only interdependence: measuring stock market comovements. Journal of Finance 57 (2002) 2223-2261
    • (2002) Journal of Finance , vol.57 , pp. 2223-2261
    • Forbes, K.J.1    Rigobon, R.2
  • 50
    • 33749030268 scopus 로고
    • The option pricing model and the risk factor of stock
    • Galai D., and Masulis R.W. The option pricing model and the risk factor of stock. Journal of Financial Economics 3 (1976) 53-81
    • (1976) Journal of Financial Economics , vol.3 , pp. 53-81
    • Galai, D.1    Masulis, R.W.2
  • 51
    • 0345531160 scopus 로고    scopus 로고
    • Sovereign spreads and emerging market equity returns
    • Gendreau B., and Heckman L. Sovereign spreads and emerging market equity returns. Journal of Portfolio Management Fall (2003) 104-114
    • (2003) Journal of Portfolio Management , vol.Fall , pp. 104-114
    • Gendreau, B.1    Heckman, L.2
  • 53
    • 21844487168 scopus 로고
    • Predictable risk and returns in emerging markets
    • Harvey C.R. Predictable risk and returns in emerging markets. Review of Financial Studies 8 (1995) 773-816
    • (1995) Review of Financial Studies , vol.8 , pp. 773-816
    • Harvey, C.R.1
  • 56
    • 0008919779 scopus 로고    scopus 로고
    • Stock market liberalization, economic reform, and emerging market equity prices
    • Henry P.B. Stock market liberalization, economic reform, and emerging market equity prices. Journal of Finance 55 (2000) 529-564
    • (2000) Journal of Finance , vol.55 , pp. 529-564
    • Henry, P.B.1
  • 60
    • 0036091163 scopus 로고    scopus 로고
    • International business cycles with endogenous incomplete markets
    • Kehoe P.J., and Perri F. International business cycles with endogenous incomplete markets. Econometrica 70 (2002) 907-928
    • (2002) Econometrica , vol.70 , pp. 907-928
    • Kehoe, P.J.1    Perri, F.2
  • 62
    • 84993608428 scopus 로고
    • Corporate debt value, bond covenants and optimal capital structure
    • Leland H.E. Corporate debt value, bond covenants and optimal capital structure. Journal of Finance 49 (1994) 987-1019
    • (1994) Journal of Finance , vol.49 , pp. 987-1019
    • Leland, H.E.1
  • 63
    • 0002350933 scopus 로고    scopus 로고
    • Agency costs, risk management, and capital structure
    • Leland H.E. Agency costs, risk management, and capital structure. Journal of Finance 53 (1998) 1213-1242
    • (1998) Journal of Finance , vol.53 , pp. 1213-1242
    • Leland, H.E.1
  • 64
    • 33646754875 scopus 로고    scopus 로고
    • Predictions of default probabilities in structural models of debt
    • Leland H.E. Predictions of default probabilities in structural models of debt. Journal of Investment Management 2 (2004) 16-40
    • (2004) Journal of Investment Management , vol.2 , pp. 16-40
    • Leland, H.E.1
  • 65
    • 0042012826 scopus 로고    scopus 로고
    • Earnings management and investor protection: an international comparison
    • Leuz C., Nanda D., and Wysocki P.D. Earnings management and investor protection: an international comparison. Journal of Financial Economics 69 (2003) 505-527
    • (2003) Journal of Financial Economics , vol.69 , pp. 505-527
    • Leuz, C.1    Nanda, D.2    Wysocki, P.D.3
  • 67
    • 25844492645 scopus 로고    scopus 로고
    • Corporate yield spreads: default risk or liquidity? New evidence from the credit default swap market
    • Longstaff F.A., Mithal S., and Neis E. Corporate yield spreads: default risk or liquidity? New evidence from the credit default swap market. Journal of Finance 60 (2005) 2213-2253
    • (2005) Journal of Finance , vol.60 , pp. 2213-2253
    • Longstaff, F.A.1    Mithal, S.2    Neis, E.3
  • 69
    • 2942735365 scopus 로고    scopus 로고
    • Equity market liberalizations as country IPOs
    • Martell R., and Stulz R.M. Equity market liberalizations as country IPOs. American Economic Review 93 (2003) 97-101
    • (2003) American Economic Review , vol.93 , pp. 97-101
    • Martell, R.1    Stulz, R.M.2
  • 70
    • 85025724501 scopus 로고
    • On estimating the expected return on the market
    • Merton R.C. On estimating the expected return on the market. Journal of Financial Economics 8 (1976) 323-361
    • (1976) Journal of Financial Economics , vol.8 , pp. 323-361
    • Merton, R.C.1
  • 71
    • 4644250628 scopus 로고    scopus 로고
    • Do indirect investment barriers contribute to capital market segmentation?
    • Nishiotis G. Do indirect investment barriers contribute to capital market segmentation?. Journal of Financial and Quantitative Analysis 39 (2004) 613-630
    • (2004) Journal of Financial and Quantitative Analysis , vol.39 , pp. 613-630
    • Nishiotis, G.1
  • 72
    • 48549106155 scopus 로고    scopus 로고
    • Default and recovery implicit in the term structure of sovereign CDS spreads
    • Pan J., and Singleton K.J. Default and recovery implicit in the term structure of sovereign CDS spreads. Journal of Finance 63 (2008) 2345-2384
    • (2008) Journal of Finance , vol.63 , pp. 2345-2384
    • Pan, J.1    Singleton, K.J.2
  • 73
    • 0036828607 scopus 로고    scopus 로고
    • Measuring financial and economic integration with equity prices in emerging markets
    • Phylaktis K., and Ravazzolo F. Measuring financial and economic integration with equity prices in emerging markets. Journal of International Money and Finance 21 (2002) 879-904
    • (2002) Journal of International Money and Finance , vol.21 , pp. 879-904
    • Phylaktis, K.1    Ravazzolo, F.2
  • 74
    • 17044402499 scopus 로고    scopus 로고
    • One reason countries pay their debts: renegotiation and international trade
    • Rose A.K. One reason countries pay their debts: renegotiation and international trade. Journal of Development Economics 77 (2005) 189-206
    • (2005) Journal of Development Economics , vol.77 , pp. 189-206
    • Rose, A.K.1
  • 75
    • 44649119459 scopus 로고    scopus 로고
    • The dynamic pricing of sovereign risk in emerging markets: fundamentals and risk aversion
    • Remolona E.M., Scatigna M., and Wu E. The dynamic pricing of sovereign risk in emerging markets: fundamentals and risk aversion. Journal of Fixed Income 17 (2008) 57-71
    • (2008) Journal of Fixed Income , vol.17 , pp. 57-71
    • Remolona, E.M.1    Scatigna, M.2    Wu, E.3
  • 76
    • 0011284661 scopus 로고    scopus 로고
    • On the co-movement of bond yield spreads and country credit ratings
    • Scholtens B. On the co-movement of bond yield spreads and country credit ratings. Journal of Fixed Income March (1999) 99-103
    • (1999) Journal of Fixed Income , vol.March , pp. 99-103
    • Scholtens, B.1
  • 78
    • 84977410476 scopus 로고
    • On the effects of barriers to international investment
    • Stulz R.M. On the effects of barriers to international investment. Journal of Finance 36 (1981) 923-934
    • (1981) Journal of Finance , vol.36 , pp. 923-934
    • Stulz, R.M.1
  • 79
    • 23944437887 scopus 로고    scopus 로고
    • The limits of financial globalization
    • Stulz R.M. The limits of financial globalization. Journal of Finance 60 (2005) 1595-1638
    • (2005) Journal of Finance , vol.60 , pp. 1595-1638
    • Stulz, R.M.1
  • 80
    • 36749099944 scopus 로고    scopus 로고
    • Creditors losses versus debt relief: results from a decade of sovereign debt crises
    • Sturzenegger F., and Zettelmeyer J. Creditors losses versus debt relief: results from a decade of sovereign debt crises. Journal of the European Economic Association 5 (2007) 343-351
    • (2007) Journal of the European Economic Association , vol.5 , pp. 343-351
    • Sturzenegger, F.1    Zettelmeyer, J.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.