Selected Publications

Articles In Academic Journals

Year Title
1998 Multifactor Asset Pricing Analysis of International Value Investment StrategiesJOURNAL OF PORTFOLIO MANAGEMENT.
1998 The Dimensions of International Equity StyleJOURNAL OF INVESTING. 15-30.
1997 Common Volatility in the Industrial Structure of Global Capital MarketsJournal of International Money and Finance. 189-209.
1997 The Linkages of S&P Stock Index and S&P 500 Stock Index Futures Prices During October 1987JOURNAL OF ECONOMICS AND BUSINESS. 253-266.
1996 Explaining Premiums and Discounts on Closed-End Equity Country FundsJOURNAL OF APPLIED CORPORATE FINANCE.
1995 Pre and Post-October 1987 Stock Market Linkages Between U.S. and Asian MarketsPacific-Basin Finance Journal. 57-73.
1995 The Intertemporal Volatility Structure of Euro CD RatesEuropean Financial Management. 317-329.
1994 Common Stochastic Trends in a System of Eurocurrency RatesJournal of Banking & Finance. 1047-1061.
1994 Common Volatility in S&P 500 Stock Index and S&P 500 Index Futures Prices During October 1987JOURNAL OF FUTURES MARKETS. 915-925.
1993 Asian Equity Markets and the Role of JapanJOURNAL OF INTERNATIONAL SECURITIES MARKETS. 165-172.
1993 Integration of Euro-Money MarketsJOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT. 107-126.
1993 International Stock Market Linkages: Evidence from the Pre and Post-October 1987 PeriodJournal of Banking & Finance. 193-208.
1992 Interest Rate Risk Management With Futures for Financial IntermediariesAPPLIED FINANCIAL ECONOMICS. 179-185.
1991 Decision Rules for Corporate Management of Foreign Exchange RiskJOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT. 39-48.

Conference Papers

Year Title
1993 Asian Equity Markets and the Role of Japan: A Study of Regional Capital Market Integration
1992 International Stock Market Linkages: Evidence from the Pre and Post-October 1987 Period