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The Impact of Investability on Asset Valuation, (with Hai Ta), Journal of Financial and

Quantitative Analysis, Forthcoming.

 

Corporate Governance and State Expropriation Risk, (with Burcin Col), Journal of Corporate

Finance, Forthcoming.

 

Correlation Dynamics and International Diversification Benefits, (with Christoffersen P., K.

Jacobs & J. Xisong), International Journal of Forecasting, Vol. 30, Issue 3, 2014, 807 till 824.

 

Do emerging markets provide currency diversification benefits?, (with I. Chaieb and B. ,

Majerbi), International Journal of Banking, Accounting and Finance, Vol. 5, issue 1/2, 2013,

102-120.

 

Do Implicit Barriers Matter for Globalization?, (with F. Carrieri and I. Chaieb), Review of

Financial Studies, Vol. 26, No. 7, 2013, 1694-1739.

 

The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?,

(with F. Carrieri, and S. Sarkissian), Quarterly Journal of Finance , Vol. 2, December 2012,

12500191- 41.

 

Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach,

(with P. Christoffersen, K. Jacobs & H. Langlois), Review of Financial Studies, Vol. 25, No.

12, 2012, 3711-3751.

 

Property Rights Protection, Corporate Transparency, and Growth, (with A. Durnev and A.

Molchanov), Journal of International Business Studies, 40th Anniversary Issue, 40, 2009,

1533 till1562.

 

 

Does Corporate International Diversification Destroy Value? Evidence from Cross-Border

Mergers and Acquisitions, (with Dos Santos M. B. and D. P. Miller), Journal of Banking and

Finance, Vol. 32, 2008, 2716 till 2724.

 

International Asset Pricing Under Segmentation and PPP Deviations, (with Ines Chaieb),

Journal of Financial Economics, Vol. 86, No.2, Nov. 2007, 543 till 578.

 

"Characterizing World Market Integration Through Time," (with F.Carrieri and K. Hogan),

Journal of Financial and Quantitative Analysis, 42, 915-940, Dec. 2007. Recipient of the

William F. Sharpe Award for Scholarship in Financial Research, Best Paper in JFQA for 2007

 

Local risk factors in Emerging Markets: are they separately priced? (with F. Carrieri and B.

Majerbi), Journal of Empirical Finance, Vol. 13 No. 4-5, Oct. 2006, 444-461

 

Size Matters: The Impact of Financial Liberalization on Individual Firms, (with

P.Christoffersen and H. Chung), Journal of International Money and Finance, Vol. 25, Issue 8,

December 2006, pp. 1296-1318

 

Does Emerging Market Exchange Risk Affect Global Equity Prices?, (with F. Carrieri and B.

Majerbi), Journal of Financial and Quantitative Analysis, Vol. 41, No. 3, September 2006, pp.511-540.

 

"An Intertemporal International Asset Pricing Model: Theory and Empirical Evidence," (with J.

R. Chang, K. Hogan and M. W. Hung). European Financial Management Vol.11, No.2, 2005,

pp. 173-194

 

"Privatization Under Incomplete Information and Bankruptcy Risk," (with S. Banerji), Journal

of Banking and Finance, 29, 2005, pp. 735-757

 

 

Industry Risk and Market Integration," (with F. Carrieri, and S. Sarkissian), Management

Science, Vol. 50, February 2004, pp. 207-221.

 

Valuation Effects of Global Equity Offerings: Evidence from Depositary Receipts, (with D.

Miller), Journal of Banking and Finance, Vol. 27, Issue 9, September 2003

1611-1623

 

Foreign Portfolio Equity Investments, Financial Liberalization and Economic Development, Special issue of Review of International Economics, International Financial Liberalization,

Capital Flows and Exchange Rate Regimes: Essays in Honor of Robert A. Mundell, Vol. 9,

No. 4, November 2001.

 

Privatization: A Theoretical Framework," (with S. Mazumdar), Journal of International

Financial Markets, Institutions and Money, Vol. 11, September 2001, pp. 339-362

 

Market Segmentation and the Cost of Capital in International Equity Markets," (with D.

Miller), Journal of Financial and Quantitative Analysis, December 2000, Vol. 35, No. 4, pp.

577-600. Reprinted in The CFA Digest, August 2001.

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Contact:
Phone: (514) 398-4056
Fax: (514) 398-3876
vihang.errunza@mcgill.ca


McGill University
Faculty of Management
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Montreal, PQ
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