Pungulescu, Crina

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Crina Pungulescu holds a Ph.D. in Finance from Tilburg University (The Netherlands) and a M.A. in Economics (with Merit) from Central European University (Hungary). Her research on the integration of financial markets, international portfolio choice, and emerging markets has been published in various academic journals, such as the Journal of International Money and Finance, European Financial Management and Emerging Markets Review. As a lecturer, she has taught Corporate Finance and Asset Pricing courses in universities and business schools in several European countries.

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    Country-Level Size Effects in International Asset Pricing
    (2021) Pungulescu, Crina
    This paper investigates whether small markets offer higher risk-adjusted expected returns using a large set of developed and emerging markets over a time span of up to four decades. The results show that expected returns are significantly lower in larger markets, an effect more pronounced in emerging rather than developed countries. The relationship between size effects and the level of market segmentation in emerging countries is further explored in the context of financial market integration. The size premium is strong and persistent over time independently of the (fading) segmentation premium documented in the literature. Markets size effects remain statistically and economically significant in the presence of various control factors and account for up to 1% per year in terms of expected returns in emerging countries.