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What Are The Global Sources Of Rational Variation In International Equity Returns
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Book Synopsis What are the Global Sources of Rational Variation in International Equity Returns? by : Yin-Wong Cheung
Download or read book What are the Global Sources of Rational Variation in International Equity Returns? written by Yin-Wong Cheung and published by . This book was released on 1997 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses multivariate statistical approaches to investigate the global sources of international real return variation. These approaches allow us to take into account the widely-documented evidence that stock market returns from different countries move in tandem with each other. In the spirit of Fama (1990), we examine two potential sources of international real return variation: changes in expected future cash flows and changes in discount rates. In this study, common global economic variables that relate to changes in the global economy or to international business conditions serve as proxies for the two sources of variation. Our results show that these two sources of variation capture a statistically significant fraction of stock price variability; their explanatory power, however, differs across holding period horizons. While proxies for changes in discount rates have an incremental impact on both monthly and quarterly real returns, proxies for changes in expected future cash flows have only an incremental impact on quarterly real returns. Our results are also generally robust to the different methodologies employed.
Book Synopsis Global Stock Markets by : Wolfgang Drobetz
Download or read book Global Stock Markets written by Wolfgang Drobetz and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Download or read book Working Paper Series written by and published by . This book was released on 1994 with total page 526 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Evidence on the Stock Market and Aggregate Economic Activity by : Yin-Wong Cheung
Download or read book International Evidence on the Stock Market and Aggregate Economic Activity written by Yin-Wong Cheung and published by . This book was released on 1996 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Working Paper written by and published by . This book was released on 1996 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Further Investigation of the Uncertain Unit Root in GNP by : Yin-Wong Cheung
Download or read book Further Investigation of the Uncertain Unit Root in GNP written by Yin-Wong Cheung and published by . This book was released on 1996 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: A more powerful version of the ADF test and a test that has trend stationarity as the null are applied to U.S. GNP. Simulated critical values generated from plausible trend and difference stationary models are used in order to minimize possible finite sample biases. The discriminatory power of the two tests is evaluated using alternative-specific rejection frequencies. For post-War quarterly data, these two tests do not provide a definite conclusion. However, when analyzing annual data over the 1869-1986 period, the unit root null is rejected, while the trend stationary null is not.
Download or read book Journal of Empirical Finance written by and published by . This book was released on 1997 with total page 1096 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Journal of International Money and Finance by :
Download or read book Journal of International Money and Finance written by and published by . This book was released on 2003 with total page 1182 pages. Available in PDF, EPUB and Kindle. Book excerpt: Earlier place of publication varies.
Book Synopsis An Empirical Investigation of the Impact of Capital Market Liberalization on the Philippine Equity Market by : Angelo Africa Unite
Download or read book An Empirical Investigation of the Impact of Capital Market Liberalization on the Philippine Equity Market written by Angelo Africa Unite and published by . This book was released on 1999 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Measuring Misalignment by : Menzie David Chinn
Download or read book Measuring Misalignment written by Menzie David Chinn and published by . This book was released on 1998 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Journal of the Japanese and International Economies by :
Download or read book Journal of the Japanese and International Economies written by and published by . This book was released on 2005 with total page 694 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Are Macroeconomics Forecasts Informative? by : Yin-Wong Cheung
Download or read book Are Macroeconomics Forecasts Informative? written by Yin-Wong Cheung and published by . This book was released on 1998 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Market Integration and Contagion by : Geert Bekaert
Download or read book Market Integration and Contagion written by Geert Bekaert and published by . This book was released on 2003 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contagion is usually defined as correlation between markets in excess of what would be implied by economic fundamentals; however, there is considerable disagreement regarding the definitions of the fundamentals, how the fundamentals might differ across countries, and the mechanisms that link the fundamentals to asset returns. Our research takes, as a starting point, a two-factor model with time-varying betas that accommodates various degrees of market integration between different markets. We apply this model to stock returns in three different regions: Europe, South-East Asia, and Latin America. In addition to providing new insights on contagion during crisis periods, we document patterns through time in world and regional market integration and measure the proportion of volatility driven by global, regional, and local factors.
Download or read book PACIFIC-BASIN FINANCE JOURNAL written by and published by . This book was released on 2004 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconomic Determinants of Long-term Stock Market Comovements Among Major EMS Countries by : Yin-Wong Cheung
Download or read book Macroeconomic Determinants of Long-term Stock Market Comovements Among Major EMS Countries written by Yin-Wong Cheung and published by . This book was released on 1998 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis What Do Trade Negotiators Negotiate About? by : Kwok Chiu Fung
Download or read book What Do Trade Negotiators Negotiate About? written by Kwok Chiu Fung and published by . This book was released on 1998 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Human Rights and Climate Change by : Stephen Humphreys
Download or read book Human Rights and Climate Change written by Stephen Humphreys and published by Cambridge University Press. This book was released on 2010 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This inquiry into the human rights dimensions of climate change identifies future perspectives, concerns and dilemmas for law and policy.
