Emerging market crises and US equity market returns Public Deposited

http://ir.library.oregonstate.edu/concern/defaults/j38607545

This is the authors’ post-peer review version of the final article. The final published version is copyrighted by Elsevier and can be found at:  http://www.elsevier.com/wps/find/journaldescription.cws_home/620162/description#description.

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  • We find contagion effects are present in US small size portfolios during emerging market crises due to risk and liquidity concerns. Investors display flight from risk during emerging market crises, and as a result, safer larger stocks exhibit positive abnormal returns. We find little evidence of contagion in aggregate excess US market returns, indicating studies that focus on national aggregates may miss important within market dynamics during emerging market crises. The international dynamics that we document have important implications for investors, even when they may have limited global exposure.
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  • Berger, D., & Turtle, H. J. (2011, May 20). Emerging Market Crises and US Equity Market Returns. Global Finance Journal. doi:10.1016/j.gfj.2011.05.003
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  • description.provenance : Made available in DSpace on 2011-06-14T19:02:24Z (GMT). No. of bitstreams: 1 BergerDave.Business.EmergingMarketContagion.pdf: 340493 bytes, checksum: afbf2c390441175e6392204191f2b6e1 (MD5) Previous issue date: 2011-05-20
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