| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5968 |
| DP5968 The Economic Lives of the Poor | |
| Abhijit Banerjee; Esther Duflo | |
| 发表日期 | 2006-12-03 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics |
| 关键词 | International diversification Correlation dynamics Country debate Factor models Comovements |
| URL | https://cepr.org/publications/dp5968 |
| 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/534806 |
| 推荐引用方式 GB/T 7714 | Abhijit Banerjee,Esther Duflo. DP5968 The Economic Lives of the Poor. 2006. |
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