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Please use this identifier to cite or link to this item: http://dspace.mediu.edu.my:8181/xmlui/handle/10419/17799
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dc.creatorBrooks, Robin-
dc.creatorDel Negro, Marco-
dc.date2005-
dc.date.accessioned2013-10-16T06:56:51Z-
dc.date.available2013-10-16T06:56:51Z-
dc.date.issued2013-10-16-
dc.identifierhttp://hdl.handle.net/10419/17799-
dc.identifierppn:495851051-
dc.identifier.urihttp://koha.mediu.edu.my:8181/xmlui/handle/10419/17799-
dc.descriptionWe explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific shocks. We find a large and highly significant link: on average, a firm raising its international sales by 10 percent raises the exposure of its stock return to global shocks by 2 percent and reduces its exposure to countryspecific shocks by 1.5 percent. This link has grown stronger since the mid-1980s.-
dc.languageeng-
dc.publisherKiel Institute for the World Economy (IfW) Kiel-
dc.relationKieler Arbeitspapiere 1244-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.subjectG15-
dc.subjectG11-
dc.subjectddc:330-
dc.subjectDiversification ; risk ; international financial markets ; industrial structure-
dc.subjectInternationaler Finanzmarkt-
dc.subjectKapitalertrag-
dc.subjectPortfolio-Management-
dc.subjectPortfolio-Investition-
dc.subjectInternationaler Preiszusammenhang-
dc.subjectGlobalisierung-
dc.subjectWelt-
dc.titleFirm-Level Evidence on International Stock Market Comovement-
dc.typedoc-type:workingPaper-
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