We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by their beta relative to the world portfolio as well as on the level of integration in that market.The level of integration is a time-varying variable that depends on the market...

In this paper we study value strategies for four European countries (France, Germany, the Netherlands and the United Kingdom).We find an outperformance for all four value variables which are investigated: the earnings-to-price (E/P) ratio, the cash-flow-to-price (CF/P) ratio, the book-to-market...