TY  - JOUR
T1  - Emerging market crises and US equity market returns
JF  - Global Finance Journal
Y1  - 2011
A1  - Berger,Dave
A1  - Turtle,Harry J
KW  - Finance
AB  - 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.
VL  - 22
CP  - 1
U2  - a
U4  - 31303708673
ID  - 31303708673
ER  -