Ian Domowitz, Jack Glen, Ananth Madhavan
We thank Nuno Martin for research assistance. Any errors are entirely our own.
Sergio Schmukler, Esteban Vesperoni, Simon Altkorn Monti, Thorsten Beck, Simeon Djankov, Jack Glen, ...
This paper investigates whether integration with global markets affects the financing choices of firms from East Asia and Latin America. Using a firm-level panel for the 1980s and 1990s, we study how...
Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time (2000)
Domowitz, Ian, Glen, Jack, Madhavan, Ananth
Actual investment performance reflects the underlying strategy of the portfolio manager and the execution costs incurred in realizing those objectives. Execution costs, especially in illiquid...
Return Behavior in Emerging Stock Markets (1995)
Claessens, Stijn, Dasgupta, Susmita, Glen, Jack
This article investigates the behavior of stock returns in the twenty stock markets represented in the International Finance Corporation's Emerging Markets Data Base. The aim is to test for return...
The cross-section of stock returns : evidence from emerging markets
Claessens, Stijn, Dasgupta, Susmita, Glen, Jack
Cross-sectional tests of asset returns have a long tradition in finance. The often-used capital asset pricing model (CAPM) and the arbitrage pricing theory both imply cross-sectional relationships...
Country and Currency Risk Premia in an Emerging Market
Ian Domowitz, Jack Glen, Ananth Madhavan
The magnitude and determinants of country and currency risk premia are of considerable importance to investors and policymakers. Unique data on peso and dollar denominated debt issued by the Mexican...
Country and Currency Risk Premia in an Emerging Market
Domowitz, Ian, Glen, Jack, Madhavan, Ananth
The magnitude and determinants of credit and currency risks are topics of considerable importance. This paper uses data on peso- and dollar-denominated debt issued by the Mexican government to...