2002
DOI: 10.3386/w8988
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Abstract: Henry gratefully acknowledges the financial support of an NSF CAREER award and the Stanford Institute of Economic Policy Research (SIEPR). This is a revised version of NBER WP 8265. We thank Geert Bekaert, and Campbell Harvey for extensive comments on previous versions of this paper. We also thank

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Cited by 66 publications
(102 citation statements)
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“…Previous empirical work on the degree of international equity market integration used capital market liberalization as the identifying event to measure risk premium changes (Bekaert and Harvey 2000;Chari and Henry 2004). In a similar spirit, I test whether the local or international components of risk premium changes and arbitrage risk determine returns over a much shorter event window.…”
Section: Testing For Market Integrationmentioning
confidence: 97%
“…Previous empirical work on the degree of international equity market integration used capital market liberalization as the identifying event to measure risk premium changes (Bekaert and Harvey 2000;Chari and Henry 2004). In a similar spirit, I test whether the local or international components of risk premium changes and arbitrage risk determine returns over a much shorter event window.…”
Section: Testing For Market Integrationmentioning
confidence: 97%
“…Many papers analyze the impact of such equity liberalization on asset prices and economic growth. Some important examples are , 2003, Errunza and Miller (2000), Henry (2000), Phylaktis and Ravazzolo (2002), , Martell and Stulz (2003), and Chari and Henry (2004). 1 It is important to mention that I do not compare the physical hostile renegotiation probabilities implied by my model to hostile renegotiation frequencies realized in the data.…”
Section: Related Literaturementioning
confidence: 99%
“…Empirical evidence on this and other benefits of liberalization is documented in studies such as Bekaert and Harvey (1997), (2000), Kim and Singal (2000), Henry (2000), (2003), Chari and Henry (2004), Bae, Bailey, and Mao (2006), Bekaert, Harvey, Lundblad, and Siegel (2007), Gupta and Yuan (2009), and so on.…”
Section: Introductionmentioning
confidence: 99%