International Stock Return Comovements

International Stock Return Comovements
Author :
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Total Pages : 76
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ISBN-10 : IND:30000164201893
ISBN-13 :
Rating : 4/5 ( Downloads)

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.


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