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Country And Industry Dynamics In Stock Returns
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Book Synopsis Country and Industry Dynamics in Stock Returns by : Mr.Allan Timmermann
Download or read book Country and Industry Dynamics in Stock Returns written by Mr.Allan Timmermann and published by International Monetary Fund. This book was released on 2003-03-01 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking "pure" country and industry factors are first constructed and their joint dynamics then modeled as regime-switching processes. Estimation using global firm-level data allows us to identify well-defined volatility states over the past thirty years and shows that the contribution of the industry factor becomes systematically more prominent during high global volatility states, while the country factor contribution declines. Using the model's estimates, we find that portfolio diversification possibilities vary considerably across economic states.
Book Synopsis Country and Industry Dynamics in Stock Returns by : Luis Catão
Download or read book Country and Industry Dynamics in Stock Returns written by Luis Catão and published by . This book was released on 2006 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking pure country and industry factors are first constructed and their joint dynamics then modeled as regime-switching processes. This methodology is applied to international firm level data over the period 1973-2002. Well-defined periods of high and low stock return volatility are identified, and the relative contribution of industry and country factors is shown to vary significantly across states. Implications for portfolio diversification possibilities are discussed.
Book Synopsis Country Versus Industry Factors in Global Stock Returns by : Marco Del Negro
Download or read book Country Versus Industry Factors in Global Stock Returns written by Marco Del Negro and published by . This book was released on 2002 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Country and Industry Factors in Stock Returns by : Luis Catão
Download or read book Country and Industry Factors in Stock Returns written by Luis Catão and published by . This book was released on 2004 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Industry and Country Components in International Stock Returns by : Sara Zervos
Download or read book Industry and Country Components in International Stock Returns written by Sara Zervos and published by . This book was released on 1995* with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The New Economy and Global Stock Returns by : Robin Brooks
Download or read book The New Economy and Global Stock Returns written by Robin Brooks and published by . This book was released on 2006 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper revisits the relative importance of global versus country-specific factors underlying stock returns. It constructs a new firm level data set covering emerging and developed markets and estimates a simple factor model, which breaks down stock returns into a global business cycle factor, global industry factors, country-specific factors and firm-level effects. The results indicate that the share of variation in stock returns explained by global industry factors has grown sharply since the mid-1990s, at the expense of country-specific factors. Foremost among the global factors is a new economy factor, which has become a key determinant of global stock returns.
Book Synopsis The Effects of Local and Global Risk Factors on Industry Stock Returns by : Mahdy Farag Elhossiny
Download or read book The Effects of Local and Global Risk Factors on Industry Stock Returns written by Mahdy Farag Elhossiny and published by . This book was released on 2005 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Stock Returns and Market Integration by : Mr.Marco Del Negro
Download or read book International Stock Returns and Market Integration written by Mr.Marco Del Negro and published by INTERNATIONAL MONETARY FUND. This book was released on 2002-11-01 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects. We divide the global stock market into the Americas, Asia, and Europe and find that most of the variation explained by country effects is actually due to region effects. Over time, these region effects have fallen. Within regions, however, only in Europe has segmentation declined, while it has increased elsewhere. Europe is also the only region where industry effects are now robustly more important than country effects.
Book Synopsis The New Economy and Global Stock Return by : Robin Brooks
Download or read book The New Economy and Global Stock Return written by Robin Brooks and published by INTERNATIONAL MONETARY FUND. This book was released on 2000-12-01 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper revisits the relative importance of global versus country-specific factors underlying stock returns. It constructs a new firm level data set covering emerging and developed markets and estimates a simple factor model, which breaks down stock returns into a global business cycle factor, global industry factors, country-specific factors and firm-level effects. The results indicate that the share of variation in stock returns explained by global industry factors has grown sharply since the mid-1990s, at the expense of country-specific factors. Foremost among the global factors is a “new economy” factor, which has become a key determinant of global stock returns.
Book Synopsis Cash Flows and Discount Rates, Industry and Country Effects and Co-Movement in Stock Returns by : John Ammer
Download or read book Cash Flows and Discount Rates, Industry and Country Effects and Co-Movement in Stock Returns written by John Ammer and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We apply the Campbell (1991) decomposition to industry-by-country, national, global industry, and world stock index returns, using 1995-2003 data. World, global industry, and country factors are all important for each of the two key components of stock returns: news about future dividends and news about future discount rates. Furthermore, the world component of future discount rates is more important than the idiosyncratic component, while the reverse is true for news about future dividends. Our results are broadly consistent with co-movement in future discount rates arising from perceptions of common elements of risk in international equity markets.
Book Synopsis The New Economy and Global Stock Returns by : Robin Brooks
Download or read book The New Economy and Global Stock Returns written by Robin Brooks and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Industry and Country Components in Emerging Market Stock Returns by : Sara J. Zervos
Download or read book Industry and Country Components in Emerging Market Stock Returns written by Sara J. Zervos and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Stock Return Comovements by : Geert Bekaert
Download or read book International Stock Return Comovements written by Geert Bekaert and published by . This book was released on 2006 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine international stock return comovements using country-industry and country-style portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, we do not find evidence for an upward trend in return correlations, excpet for the European stock markets. Second, the increasing imporatnce of industry factors relative to country factors was a short-lived, temporary phenomenon. Third, we find no evidence for a trend in idiosyncratic risk in any of the countries we examine.
Book Synopsis International Stock Returns and Market Integration by : Ray Brooks
Download or read book International Stock Returns and Market Integration written by Ray Brooks and published by . This book was released on 2006 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects. We divide the global stock market into the Americas, Asia, and Europe and find that most of the variation explained by country effects is actually due to region effects. Over time, these region effects have fallen. Within regions, however, only in Europe has segmentation declined, while it has increased elsewhere. Europe is also the only region where industry effects are now robustly more important than country effects.
Book Synopsis Country and Industry Factors in Returns - Evidence from Emerging Markets' Stocks by : Ana Paula Serra
Download or read book Country and Industry Factors in Returns - Evidence from Emerging Markets' Stocks written by Ana Paula Serra and published by . This book was released on 2007 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the influence of country and industry factors on the cross-sectional variance and correlation structure of returns. I use new data on emerging markets' stocks obtained from the Emerging Markets Data Base. I find that emerging markets' returns are mainly driven by country factors, as it was shown previously in studies for mature markets, and that cross-market correlation is not affected by the industrial composition of the indices. These results have important implications in regard to international portfolio diversification: cross-market diversification seems to be a better bet than cross-industry diversification. A finer industry partition shows, however, that ignoring the industrial mix leads to an important loss of diversification benefits.
Author :Mohamed El Hedi Arouri Publisher :Springer Science & Business Media ISBN 13 :3790823899 Total Pages :214 pages Book Rating :4.7/5 (98 download)
Book Synopsis The Dynamics of Emerging Stock Markets by : Mohamed El Hedi Arouri
Download or read book The Dynamics of Emerging Stock Markets written by Mohamed El Hedi Arouri and published by Springer Science & Business Media. This book was released on 2009-12-24 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets has been particularly challenged by their fast changes in nature and size under the effects of financial liberalization and reforms. This evolving feature has particularly led to a commensurate increase in sophistication of modeling techniques used for understanding financial markets. In this spirit, the book aims at providing the audience a comprehensive understanding of emerging stock markets in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. On the other hand, it presents and discusses new research findings and their implications.
Book Synopsis International Competition and Exchange Rate Shocks by : John Meredith Griffin
Download or read book International Competition and Exchange Rate Shocks written by John Meredith Griffin and published by . This book was released on 1997 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is widely accepted that, for some industries, competition across countries is" economically important and that this competition is strongly affected by exchange rate changes." This paper explores the validity of this view using weekly stock return data on 320 industry pairs" in six countries from 1975 to 1997. It is found that common shocks to industries across countries" are more important than competitive shocks. Weekly exchange rate shocks explain almost" nothing of the relative performance of industries. Using returns measured over longer horizons the importance of exchange rate shocks increases slightly and the importance of common shocks" to industries increases more substantially. Both industry and exchange rate shocks are more" important for industries that produce goods traded internationally, but the importance of these" shocks is economically small for these industries as well
