Vihang R. Errunza

McGill University - Desautels Faculty of Management

Bank of Montreal Chair in Finance and Banking

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

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SCHOLARLY PAPERS

31

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Scholarly Papers (31)

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1.

Is the Potential for International Diversification Disappearing?

Number of pages: 41 Posted: 21 Mar 2010
Peter Christoffersen, Vihang R. Errunza, Kris Jacobs and Xisong Jin
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management, University of Houston - C.T. Bauer College of Business and Central Bank of Luxembourg
Downloads 1,750 (8,759)
Citation 11

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international asset pricing, asset allocation, dynamic conditional correlation (DCC), dynamic equicorrelation (DECO), dynamic copula

2.

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

Number of pages: 31 Posted: 29 Feb 2004 Last Revised: 19 Aug 2008
Marcelo Braga Dos Santos, Vihang R. Errunza and Darius P. Miller
McGill University - Desautels Faculty of Management, McGill University - Desautels Faculty of Management and Southern Methodist University (SMU) - Finance Department
Downloads 1,680 (9,383)
Citation 1

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Corporate international diversification, mergers and acquisitions, diversification discount

3.

Market Segmentation and the Cost of Capital in International Equity Markets

Downloads 1,528 ( 10,924)

Market Segmentation and the Cost of Capital in International Equity Markets

Number of pages: 36 Posted: 13 Aug 1998
Vihang R. Errunza and Darius P. Miller
McGill University - Desautels Faculty of Management and Southern Methodist University (SMU) - Finance Department
Downloads 1,528 (10,716)
Citation 130

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Market Segmentation and the Cost of Capital in International Equity Markets

Journal of Financial and Quantitative Analysis
Posted: 23 Jan 2001
Vihang R. Errunza and Darius P. Miller
McGill University - Desautels Faculty of Management and Southern Methodist University (SMU) - Finance Department

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cost of capital, depositary receipts, liberalization

4.

Industry Risk and Market Integration

Number of pages: 43 Posted: 11 Jan 2001
Francesca Carrieri, Sergei Sarkissian and Vihang R. Errunza
McGill University - Desautels Faculty of Management, McGill University and McGill University - Desautels Faculty of Management
Downloads 972 (21,941)
Citation 16

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Imperfect industry integration, Global industry risk, Conditional asset pricing, Portfolio diversification

5.

Characterizing World Market Integration Through Time

EFMA 2001 Lugano Meetings
Number of pages: 49 Posted: 19 Jun 2001
Francesca Carrieri, Vihang R. Errunza and Kedreth Hogan
McGill University - Desautels Faculty of Management, McGill University - Desautels Faculty of Management and Barclays - Barclays Global Investors (BGI)
Downloads 881 (25,361)
Citation 66

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International asset pricing, emerging markets

6.

Privatization: A Theoretical Framework

Number of pages: 38 Posted: 20 Apr 2000
Vihang R. Errunza and Sumon C. Mazumdar
McGill University - Desautels Faculty of Management and Law and Economics Consulting Group (LECG), LLC
Downloads 876 (25,577)
Citation 4

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7.

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

Review of Financial Studies, 2012, Vol. 25, No. 12, pp. 3711-3751.
Number of pages: 53 Posted: 24 May 2012 Last Revised: 20 Jan 2013
Peter Christoffersen, Vihang R. Errunza, Kris Jacobs and Hugues Langlois
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management, University of Houston - C.T. Bauer College of Business and HEC Paris - Finance Department
Downloads 817 (28,213)
Citation 6

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Asset allocation, dynamic dependence, dynamic copula, asymmetric dependence

8.

Towards a Global Financial Architecture: Capital Mobility and Risk Management Issues

Number of pages: 26 Posted: 25 Nov 1999
Peter Christoffersen and Vihang R. Errunza
University of Toronto - Rotman School of Management and McGill University - Desautels Faculty of Management
Downloads 785 (29,788)
Citation 1

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9.

Foreign Portfolio Equity Investments in Economic Development

Number of pages: 40 Posted: 10 Oct 1999
Vihang R. Errunza
McGill University - Desautels Faculty of Management
Downloads 641 (39,171)
Citation 20

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10.

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

AFA 2005 Philadelphia Meetings
Number of pages: 58 Posted: 18 Aug 2004
Francesca Carrieri, Sergei Sarkissian and Vihang R. Errunza
McGill University - Desautels Faculty of Management, McGill University and McGill University - Desautels Faculty of Management
Downloads 525 (50,857)
Citation 15

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Diversification gains, asset allocation, international equity markets, industrial structure, industrial production

11.

Do Implicit Barriers Matter for Globalization?

Downloads 375 ( 76,538)
Citation 3

Do Implicit Barriers Matter for Globalization?

Swiss Finance Institute Research Paper No. 10-55
Number of pages: 64 Posted: 23 Dec 2010 Last Revised: 14 Jun 2013
Francesca Carrieri, Ines Chaieb and Vihang R. Errunza
McGill University - Desautels Faculty of Management, University of Geneva - Geneva Finance Research Institute (GFRI) and McGill University - Desautels Faculty of Management
Downloads 211 (140,855)
Citation 3

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International Asset Pricing, Emerging Markets, Market Integration, Liberalization, Globalization

Do Implicit Barriers Matter for Globalization?

Number of pages: 60 Posted: 02 Mar 2010 Last Revised: 01 Oct 2010
Francesca Carrieri, Ines Chaieb and Vihang R. Errunza
McGill University - Desautels Faculty of Management, University of Geneva - Geneva Finance Research Institute (GFRI) and McGill University - Desautels Faculty of Management
Downloads 116 (234,929)
Citation 3

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International Asset Pricing, Emerging Markets, Market Integration, Liberalization, Globalization

Do Implicit Barriers Matter for Globalization?

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 60 Posted: 22 Oct 2010
Ines Chaieb, Francesca Carrieri and Vihang R. Errunza
University of Geneva - Geneva Finance Research Institute (GFRI), McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 48 (393,189)
Citation 3

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International Asset Pricing, Emerging Markets, Market Integration

12.

Correlation Dynamics and International Diversification Benefits

Rotman School of Management Working Paper No. 2313954
Number of pages: 35 Posted: 22 Aug 2013
Peter Christoffersen, Vihang R. Errunza, Kris Jacobs and Xisong Jin
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management, University of Houston - C.T. Bauer College of Business and Central Bank of Luxembourg
Downloads 369 (78,044)

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Aasset pricing, asset allocation, dynamic conditional correlation (DCC), dynamic equicorrelation (DECO)

13.

A Three-Moment International Asset-Pricing Model: Theory and Evidence

Number of pages: 46 Posted: 14 Nov 2005
Vihang R. Errunza and Oumar Sy
McGill University - Desautels Faculty of Management and Dalhousie University
Downloads 368 (78,299)
Citation 8

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International asset pricing, nonlinearity, anomaly, size, value, momentum

14.

Global Price of Foreign Exchange Risk and the Local Factor

EFMA 2003 Helsinki Meetings
Number of pages: 42 Posted: 04 Jun 2003
Francesca Carrieri, Vihang R. Errunza and Basma Majerbi
McGill University - Desautels Faculty of Management, McGill University - Desautels Faculty of Management and Gustavson School of Business, University of Victoria
Downloads 364 (79,327)
Citation 3

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15.

Does Emerging Market Exchange Risk Affect Global Equity Prices?

Number of pages: 45 Posted: 13 Dec 2004
Francesca Carrieri, Vihang R. Errunza and Basma Majerbi
McGill University - Desautels Faculty of Management, McGill University - Desautels Faculty of Management and Gustavson School of Business, University of Victoria
Downloads 350 (82,986)
Citation 16

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Currency risk, currency crisis, emerging markets, spillover, international markets

16.

International Asset Pricing Under Segmentation and PPP Deviations

EFA 2005 Moscow Meetings Paper, Journal of Financial Economics, Forthcoming
Number of pages: 49 Posted: 16 Jun 2005
Ines Chaieb and Vihang R. Errunza
University of Geneva - Geneva Finance Research Institute (GFRI) and McGill University - Desautels Faculty of Management
Downloads 342 (85,233)
Citation 13

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International asset pricing models, currency risk, segmentation

17.

Market Segmentation and Noise Trader Risk

Downloads 326 ( 89,972)

Market Segmentation and Noise Trader Risk

Number of pages: 14 Posted: 28 Apr 2000
Vihang R. Errunza, Kedreth Hogan and Mao-Wei Hung
McGill University - Desautels Faculty of Management, Barclays - Barclays Global Investors (BGI) and National Taiwan University
Downloads 326 (89,372)
Citation 2

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Market Segmentation and Noise Trader Risk

International Journal of Theoretical and Applied Finance, Vol 3, No. 1
Posted: 13 May 2000
Vihang R. Errunza, Kedreth Hogan and Mao-Wei Hung
McGill University - Desautels Faculty of Management, Barclays - Barclays Global Investors (BGI) and National Taiwan University

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18.

Property Rights Protection, Corporate Transparency, and Growth

Downloads 248 (120,435)
Citation 7

Property Rights Protection, Corporate Transparency, and Growth

Number of pages: 55 Posted: 15 Nov 2008 Last Revised: 02 Jul 2009
Art Durnev, Vihang R. Errunza and Alexander Molchanov
University of Iowa - Henry B. Tippie College of Business, McGill University - Desautels Faculty of Management and Massey University
Downloads 157 (184,328)
Citation 7

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expropriation, transparency, investment

Property Rights Protection, Corporate Transparency, and Growth

Number of pages: 47 Posted: 25 Feb 2009
Art Durnev, Vihang R. Errunza and Alexander Molchanov
University of Iowa - Henry B. Tippie College of Business, McGill University - Desautels Faculty of Management and Massey University
Downloads 91 (277,947)
Citation 7

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Transparency, Investment Efficiency, Growth, Property Rights

Property Rights Protection, Corporate Transparency, and Growth

Journal of International Business Studies, Forthcoming
Posted: 08 Jul 2009
Art Durnev, Vihang R. Errunza and Alexander Molchanov
University of Iowa - Henry B. Tippie College of Business, McGill University - Desautels Faculty of Management and Massey University

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19.

Havenly Acquisitions

Number of pages: 42 Posted: 08 Feb 2014 Last Revised: 08 May 2015
Burcin Col and Vihang R. Errunza
Pace University-Lubin School of Business and McGill University - Desautels Faculty of Management
Downloads 205 (145,014)

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Tax haven, cross-border mergers, tax avoidance, corporate governance

20.

Optimal Financial Design of Privatization Under Incomplete Information and Bankruptcy Risk

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 23 Posted: 22 Feb 2002
Sanjay Banerji and Vihang R. Errunza
Durham University - Durham Business School and McGill University - Desautels Faculty of Management
Downloads 187 (157,918)

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21.

Size Matters: The Impact of Capital Market Liberalization on Individual Firms

McGill Finance Research Centre Working Paper
Number of pages: 29 Posted: 31 Aug 2003
Peter Christoffersen, Hyunchul Chung and Vihang R. Errunza
University of Toronto - Rotman School of Management, Hanyang University-School of Business and McGill University - Desautels Faculty of Management
Downloads 168 (173,730)
Citation 6

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Revaluation effects, performance, volatility, correlation

22.

Currency risk and market integration

Swiss Finance Institute Research Paper No. 14-10
Number of pages: 52 Posted: 19 Feb 2014 Last Revised: 06 Apr 2018
Ines Chaieb and Vihang R. Errunza
University of Geneva - Geneva Finance Research Institute (GFRI) and McGill University - Desautels Faculty of Management
Downloads 133 (210,691)

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Real exchange rate risk premium, market integration, international asset pricing, emerging markets.

23.

How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?

Swiss Finance Institute Research Paper No. 16-52
Number of pages: 81 Posted: 04 Aug 2016 Last Revised: 12 Dec 2018
Ines Chaieb, Vihang R. Errunza and Rajna Gibson
University of Geneva - Geneva Finance Research Institute (GFRI), McGill University - Desautels Faculty of Management and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 132 (212,017)

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CDS spreads, credit quality, currency risk, liquidity, macroeconomic risk, political risk, sovereign bond market integration, sovereign funding cost.

24.

Is Liquidity Risk Priced in Partially Segmented Markets?

Swiss Finance Institute Research Paper No. 18-05, Paris December 2018 Finance Meeting EUROFIDAI - AFFI, HEC Paris Research Paper No. FIN-2018-1254
Number of pages: 54 Posted: 18 Jan 2018 Last Revised: 04 Jun 2018
Ines Chaieb, Vihang R. Errunza and Hugues Langlois
University of Geneva - Geneva Finance Research Institute (GFRI), McGill University - Desautels Faculty of Management and HEC Paris - Finance Department
Downloads 124 (222,464)

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International asset pricing, liquidity risk, transaction cost, emerging markets, market integration.

25.

Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects

Downloads 123 (223,771)

Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects

Swiss Finance Institute Research Paper No. 14-47
Number of pages: 65 Posted: 16 Jul 2014
Ines Chaieb, Vihang R. Errunza and Rajna Gibson
University of Geneva - Geneva Finance Research Institute (GFRI), McGill University - Desautels Faculty of Management and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 104 (254,170)

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market integration, term structure of integration, sovereign bond markets, political risk, developed markets, emerging markets, sovereign risk

Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects

Number of pages: 63 Posted: 15 Jul 2014
Ines Chaieb, Vihang R. Errunza and Rajna Gibson
University of Geneva - Geneva Finance Research Institute (GFRI), McGill University - Desautels Faculty of Management and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 19 (533,640)

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market integration, term structure of integration, sovereign bond markets, political risk, developed markets, emerging markets, sovereign risk.

26.

Corporate Governance and State Expropriation Risk

Number of pages: 52 Posted: 14 Mar 2011 Last Revised: 20 Feb 2014
Burcin Col and Vihang R. Errunza
Pace University-Lubin School of Business and McGill University - Desautels Faculty of Management
Downloads 111 (241,288)

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Cross-border mergers, state expropriation, corporate governance

27.

Do Emerging Markets Provide Currency Diversification Benefits?

Int. J. Banking, Accounting and Finance (Forthcoming)
Number of pages: 25 Posted: 12 Nov 2013
Ines Chaieb, Vihang R. Errunza and Basma Majerbi
University of Geneva - Geneva Finance Research Institute (GFRI), McGill University - Desautels Faculty of Management and Gustavson School of Business, University of Victoria
Downloads 100 (259,474)

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international asset pricing; currency risk; emerging markets; international diversification; global sector investing.

28.

Barriers to Portfolio Flows, Short Sales Constraints and International Asset Pricing: Theory and Evidence

Downloads 94 (270,139)

Barriers to Portfolio Flows, Short Sales Constraints and International Asset Pricing: Theory and Evidence

Number of pages: 48 Posted: 20 Jan 2011 Last Revised: 07 Mar 2011
Hai T. Ta and Vihang R. Errunza
McGill University and McGill University - Desautels Faculty of Management
Downloads 58 (359,851)

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International Asset Pricing, Emerging Markets, Barriers to Investment, Foreign Ownership Restrictions, Short Sales Constraints

Barriers to Portfolio Flows, Short Sales Constraints and International Asset Pricing: Theory and Evidence

Number of pages: 48 Posted: 31 Oct 2010
Hai T. Ta and Vihang R. Errunza
McGill University and McGill University - Desautels Faculty of Management
Downloads 36 (440,736)

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International Asset Pricing, Foreign Ownership Restrictions, Short Sales Constraints, Emerging Markets

29.

An Intertemporal International Asset Pricing Model: Theory and Empirical Evidence

European Financial Management, Vol. 11, No. 2, pp. 173-194, March 2005
Number of pages: 2 Posted: 28 Mar 2005
Jow-Ran Chang, Vihang R. Errunza, Kedreth Hogan and Mao-Wei Hung
National Tsing Hua University, McGill University - Desautels Faculty of Management, Barclays - Barclays Global Investors (BGI) and National Taiwan University
Downloads 21 (504,254)
Citation 6
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30.

The Use of Discrete Variable Selections for Credit Evaluation

Omega, Vol. 16, No. 5, pp. 469-480, September 1988
Posted: 18 Apr 2006
Roger Calantone, Anthony Di Benedetto and Vihang R. Errunza
Michigan State University, Temple University and McGill University - Desautels Faculty of Management

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31.

Macroeconomic Determinants of European Stock Market Volatility

European Financial Management
Posted: 17 Apr 1998
Vihang R. Errunza and Kedreth Hogan
McGill University - Desautels Faculty of Management and Barclays - Barclays Global Investors (BGI)

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