• Article  

      Closed-end country funds and international diversification 

      Charitou, Andreas; Makris, Andreas; Nishiotis, George P. (2006)
      Using data from 1993 to 2002 for eight developed and fifteen emerging markets, we find that return correlations, mean-variance spanning, and Sharpe ratio tests support that closed-end country funds (CECF) can mimic their ...
    • Working Paper  Open Access

      A Political Capital Asset Pricing Model 

      Pagliardi, Giovanni; Poncet, Patrice; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2019-03)
      We construct a bivariate factor of political stability and economic policy confidence, and show that it commands a significant premium of up to 15% per annum, in the global, developed, and emerging markets, robust to ICAPM, ...