How to cite this paper
Khalfallah, F. (2023). The risk premium in times of financial crisis: an assessment from ICAPM on the MENA region.Accounting, 9(2), 109-120.
Refrences
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Arouri, M. E. H., Jouini, J., & Nguyen, D. K. (2011). Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management. Journal of International money and finance, 30(7), 1387-1405.
Arouri, M. E. H., & Jawadi, F. (2010). On the impacts of crisis on the risk premium: Evidence from the US stock market using a conditional CAPM. hal.archives-ouvertes.fr
Barr, D. G., & Priestley, R. (2004). Expected returns, risk and the integration of international bond markets. Journal of International money and finance, 23(1), 71-97.
Bekaert, G., & Harvey, C. R. (1997). Emerging equity market volatility. Journal of Financial economics, 43(1), 29-77.
Bekaert, G., & Harvey, C. R. (1995). Time‐varying world market integration. the Journal of Finance, 50(2), 403-444.
Caballero, R. J., & Simsek, A. (2009). Complexity and financial panics (No. w14997). National Bureau of Economic Research.
Carrieri, F. (2001). The effects of liberalisation on market and currency risk in the European union. European Financial Management, 7(2), 259-290.
Cappiello, L., Castren, O., & Jääskelä, J. P. (2003). Measuring the Euro exchange rate risk premium: The conditional International CAPM approach. Available at SSRN 391986.
Chong, C. Y. (2011). Effect of subprime crisis on US stock market return and volatility. Global economy and finance journal, 4(1), 102-111.
Choudhry, T. (2016). Time-varying risk premium yield spread effect in term structure and global financial crisis: Evidence from Europe. International Review of Financial Analysis, 48, 303-311.
De Santis, G., & Gerard, B. (1998). How big is the premium for currency risk?. Journal of financial economics, 49(3), 375-412.
De Santis, G., Gerard, B., & Hillion, P. (2003). The relevance of currency risk in the EMU. Journal of Economics and Business, 55(5-6), 427-462.
Dumas, B., & Solnik, B. (1995). The world price of foreign exchange risk. The journal of finance, 50(2), 445-479.
Ferson, W. E., & Harvey, C. R. (1993). The risk and predictability of international equity returns. Review of financial Studies, 6(3), 527-566.
Gérard, B., Thanyalakpark, K., & Batten, J. A. (2003). Are the East Asian markets integrated? Evidence from the ICAPM. Journal of Economics and Business, 55(5-6), 585-607.
Griffin, J. M., & Stulz, R. M. (2001). International competition and exchange rate shocks: a cross-country industry analysis of stock returns. The review of Financial studies, 14(1), 215-241.
Hardouvelis, G. A., Malliaropulos, D., & Priestley, R. (2006). EMU and European stock market integration. The Journal of Business, 79(1), 365-392.
Karolyi, G. A., & Stulz, R. M. (2003). Are financial assets priced locally or globally?. Handbook of the Economics of Finance, 1, 975-1020.
Lintner, J. (1975). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. In Stochastic optimization models in finance (pp. 131-155). Academic Press.
Phylaktis, K., & Ravazzolo, F. (2004). Currency risk in emerging equity markets. Emerging Markets Review, 5(3), 317-339.
Solnik, B. H. (1974). The international pricing of risk: An empirical investigation of the world capital market structure. The Journal of Finance, 29(2), 365-378.
Tai, C. S. (2003). Can currency risk be a source of risk premium in explaining forward premium puzzle?: Evidence from Asia-Pacific forward exchange markets. Journal of International Financial Markets, Institutions and Money, 13(4), 291-311.
Tai, C. S. (2007). Market integration and currency risk in Asian emerging markets. Research in International Business and Finance, 21(1), 98-117.
Yamani, E. A., & Swanson, P. E. (2014). Financial crises and the global value premium: Revisiting Fama and French. Journal of International Financial Markets, Institutions and Money, 33, 115-136
Arouri, M. E. H., Jouini, J., & Nguyen, D. K. (2011). Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management. Journal of International money and finance, 30(7), 1387-1405.
Arouri, M. E. H., & Jawadi, F. (2010). On the impacts of crisis on the risk premium: Evidence from the US stock market using a conditional CAPM. hal.archives-ouvertes.fr
Barr, D. G., & Priestley, R. (2004). Expected returns, risk and the integration of international bond markets. Journal of International money and finance, 23(1), 71-97.
Bekaert, G., & Harvey, C. R. (1997). Emerging equity market volatility. Journal of Financial economics, 43(1), 29-77.
Bekaert, G., & Harvey, C. R. (1995). Time‐varying world market integration. the Journal of Finance, 50(2), 403-444.
Caballero, R. J., & Simsek, A. (2009). Complexity and financial panics (No. w14997). National Bureau of Economic Research.
Carrieri, F. (2001). The effects of liberalisation on market and currency risk in the European union. European Financial Management, 7(2), 259-290.
Cappiello, L., Castren, O., & Jääskelä, J. P. (2003). Measuring the Euro exchange rate risk premium: The conditional International CAPM approach. Available at SSRN 391986.
Chong, C. Y. (2011). Effect of subprime crisis on US stock market return and volatility. Global economy and finance journal, 4(1), 102-111.
Choudhry, T. (2016). Time-varying risk premium yield spread effect in term structure and global financial crisis: Evidence from Europe. International Review of Financial Analysis, 48, 303-311.
De Santis, G., & Gerard, B. (1998). How big is the premium for currency risk?. Journal of financial economics, 49(3), 375-412.
De Santis, G., Gerard, B., & Hillion, P. (2003). The relevance of currency risk in the EMU. Journal of Economics and Business, 55(5-6), 427-462.
Dumas, B., & Solnik, B. (1995). The world price of foreign exchange risk. The journal of finance, 50(2), 445-479.
Ferson, W. E., & Harvey, C. R. (1993). The risk and predictability of international equity returns. Review of financial Studies, 6(3), 527-566.
Gérard, B., Thanyalakpark, K., & Batten, J. A. (2003). Are the East Asian markets integrated? Evidence from the ICAPM. Journal of Economics and Business, 55(5-6), 585-607.
Griffin, J. M., & Stulz, R. M. (2001). International competition and exchange rate shocks: a cross-country industry analysis of stock returns. The review of Financial studies, 14(1), 215-241.
Hardouvelis, G. A., Malliaropulos, D., & Priestley, R. (2006). EMU and European stock market integration. The Journal of Business, 79(1), 365-392.
Karolyi, G. A., & Stulz, R. M. (2003). Are financial assets priced locally or globally?. Handbook of the Economics of Finance, 1, 975-1020.
Lintner, J. (1975). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. In Stochastic optimization models in finance (pp. 131-155). Academic Press.
Phylaktis, K., & Ravazzolo, F. (2004). Currency risk in emerging equity markets. Emerging Markets Review, 5(3), 317-339.
Solnik, B. H. (1974). The international pricing of risk: An empirical investigation of the world capital market structure. The Journal of Finance, 29(2), 365-378.
Tai, C. S. (2003). Can currency risk be a source of risk premium in explaining forward premium puzzle?: Evidence from Asia-Pacific forward exchange markets. Journal of International Financial Markets, Institutions and Money, 13(4), 291-311.
Tai, C. S. (2007). Market integration and currency risk in Asian emerging markets. Research in International Business and Finance, 21(1), 98-117.
Yamani, E. A., & Swanson, P. E. (2014). Financial crises and the global value premium: Revisiting Fama and French. Journal of International Financial Markets, Institutions and Money, 33, 115-136