| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4394 |
| DP4394 What Triggers Early Retirement? Results from Swiss Pension Funds | |
| Monika Butler; Olivia Huguenin; Federica Teppa | |
| 发表日期 | 2004-05-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | An important question in international finance is to what extent stock return volatility is influenced by country location, industry affiliation, and global factors. This Paper develops a new methodology to measure these effects, in which portfolios mimicking ?pure? country and industry factors are first constructed and their joint dynamics then modelled as regime-switching processes. Applying this methodology to a uniquely long set of international firm level data, we identify well-defined high and low volatility states over the past 30 years, and show that the contribution of industry and country factors to stock return volatility varies markedly across such states. In particular, we find that the country factor contribution drops markedly when global equity market volatility rises, and that country return correlations become tighter when global and industry factors are both in a high volatility state. Key implications for global portfolio allocation are discussed. |
| 主题 | Financial Economics |
| 关键词 | Diversification Risk Volatility states International financial markets |
| URL | https://cepr.org/publications/dp4394 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533348 |
| 推荐引用方式 GB/T 7714 | Monika Butler,Olivia Huguenin,Federica Teppa. DP4394 What Triggers Early Retirement? Results from Swiss Pension Funds. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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