| dc.creator |
Brooks, Robin |
|
| dc.creator |
Del Negro, Marco |
|
| dc.date |
2005 |
|
| dc.date.accessioned |
2013-10-16T07:05:25Z |
|
| dc.date.available |
2013-10-16T07:05:25Z |
|
| dc.date.issued |
2013-10-16 |
|
| dc.identifier |
http://hdl.handle.net/10419/19519 |
|
| dc.identifier |
ppn:487739485 |
|
| dc.identifier |
RePEc:zbw:bubdp1:3370 |
|
| dc.identifier.uri |
http://koha.mediu.edu.my:8181/xmlui/handle/10419/19519 |
|
| dc.description |
We 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.language |
eng |
|
| dc.relation |
Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2005,11 |
|
| dc.rights |
http://www.econstor.eu/dspace/Nutzungsbedingungen |
|
| dc.subject |
G11 |
|
| dc.subject |
G15 |
|
| dc.subject |
ddc:330 |
|
| dc.subject |
Diversification |
|
| dc.subject |
risk |
|
| dc.subject |
international financial markets |
|
| dc.subject |
industrial structure |
|
| dc.subject |
Internationaler Finanzmarkt |
|
| dc.subject |
Kapitalertrag |
|
| dc.subject |
Portfolio-Management |
|
| dc.subject |
Portfolio-Investition |
|
| dc.subject |
Internationaler Preiszusammenhang |
|
| dc.subject |
Globalisierung |
|
| dc.subject |
Welt |
|
| dc.title |
Firm-level evidence on international stock market comovement |
|
| dc.type |
doc-type:workingPaper |
|