| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11906 |
| 来源ID | Working Paper 11906 |
| International Stock Return Comovements | |
| Geert Bekaert; Robert J. Hodrick; Xiaoyan Zhang | |
| 发表日期 | 2005-12-26 |
| 出版年 | 2005 |
| 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 ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w11906 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569557 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Robert J. Hodrick,Xiaoyan Zhang. International Stock Return Comovements. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11906.pdf（522KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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