Country And Industry Dynamics In Stock Returns
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Country And Industry Dynamics In Stock Returns
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Author : Mr.Allan Timmermann
language : en
Publisher: International Monetary Fund
Release Date : 2003-03-01
Country And Industry Dynamics In Stock Returns written by Mr.Allan Timmermann and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-03-01 with Business & Economics categories.
A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking "pure" country and industry factors are first constructed and their joint dynamics then modeled as regime-switching processes. Estimation using global firm-level data allows us to identify well-defined volatility states over the past thirty years and shows that the contribution of the industry factor becomes systematically more prominent during high global volatility states, while the country factor contribution declines. Using the model's estimates, we find that portfolio diversification possibilities vary considerably across economic states.
Country And Industry Dynamics In Stock Returns
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Author : Luis Catão
language : en
Publisher:
Release Date : 2006
Country And Industry Dynamics In Stock Returns written by Luis Catão and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking pure country and industry factors are first constructed and their joint dynamics then modeled as regime-switching processes. This methodology is applied to international firm level data over the period 1973-2002. Well-defined periods of high and low stock return volatility are identified, and the relative contribution of industry and country factors is shown to vary significantly across states. Implications for portfolio diversification possibilities are discussed.
International Stock Returns And Market Integration
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Author : Mr.Marco Del Negro
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2002-11-01
International Stock Returns And Market Integration written by Mr.Marco Del Negro and has been published by INTERNATIONAL MONETARY FUND this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-11-01 with Business & Economics categories.
We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects. We divide the global stock market into the Americas, Asia, and Europe and find that most of the variation explained by country effects is actually due to region effects. Over time, these region effects have fallen. Within regions, however, only in Europe has segmentation declined, while it has increased elsewhere. Europe is also the only region where industry effects are now robustly more important than country effects.
The Dynamics Of Emerging Stock Markets
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Author : Mohamed El Hedi Arouri
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-12-24
The Dynamics Of Emerging Stock Markets written by Mohamed El Hedi Arouri and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-24 with Business & Economics categories.
Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets has been particularly challenged by their fast changes in nature and size under the effects of financial liberalization and reforms. This evolving feature has particularly led to a commensurate increase in sophistication of modeling techniques used for understanding financial markets. In this spirit, the book aims at providing the audience a comprehensive understanding of emerging stock markets in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. On the other hand, it presents and discusses new research findings and their implications.
International Stock Return Comovements
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Author : Geert Bekaert
language : en
Publisher:
Release Date : 2006
International Stock Return Comovements written by Geert Bekaert and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Rate of return categories.
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.
Inconsistency In The Theory Of Stock Returns
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Author : Bharti Publications
language : en
Publisher: Bharti Publications
Release Date : 2017-11-10
Inconsistency In The Theory Of Stock Returns written by Bharti Publications and has been published by Bharti Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-10 with categories.
Stocks For The Long Run 4th Edition
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Author : Jeremy J. Siegel
language : en
Publisher: McGraw Hill Professional
Release Date : 2007-12-18
Stocks For The Long Run 4th Edition written by Jeremy J. Siegel and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-18 with Business & Economics categories.
Stocks for the Long Run set a precedent as the most complete and irrefutable case for stock market investment ever written. Now, this bible for long-term investing continues its tradition with a fourth edition featuring updated, revised, and new material that will keep you competitive in the global market and up-to-date on the latest index instruments. Wharton School professor Jeremy Siegel provides a potent mix of new evidence, research, and analysis supporting his key strategies for amassing a solid portfolio with enhanced returns and reduced risk. In a seamless narrative that incorporates the historical record of the markets with the realities of today's investing environment, the fourth edition features: A new chapter on globalization that documents how the emerging world will soon overtake the developed world and how it impacts the global economy An extended chapter on indexing that includes fundamentally weighted indexes, which have historically offered better returns and lower volatility than their capitalization-weighted counterparts Insightful analysis on what moves the market and how little we know about the sources of big market changes A sobering look at behavioral finance and the psychological factors that can lead investors to make irrational investment decisions A major highlight of this new edition of Stocks for the Long Run is the chapter on global investing. With the U.S. stock market currently holding less than half of the world's equity capitalization, it's important for investors to diversify abroad. This updated edition shows you how to create an “efficient portfolio” that best balances asset allocation in domestic and foreign markets and provides thorough coverage on sector allocation across the globe. Stocks for the Long Run is essential reading for every investor and advisor who wants to fully understand the market-including its behavior, past trends, and future influences-in order to develop a prosperous long-term portfolio that is both safe and secure.
The Effect Of Weather On Stock Returns A Comparison Between Emerging And Developed Markets
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Author : Irina Prodan
language : en
Publisher: Anchor Academic Publishing (aap_verlag)
Release Date : 2013-06-01
The Effect Of Weather On Stock Returns A Comparison Between Emerging And Developed Markets written by Irina Prodan and has been published by Anchor Academic Publishing (aap_verlag) this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-01 with Political Science categories.
One renowned and frequently researched anomaly over the last two decades is the weather effect, more precisely, the impact of weather on stock market returns. The extensive literature on the weather effect fails to converge towards a unique, systematic and robust relationship between the weather, and the stock market. Therefore, the aim of this paper is to explain the contradictory results in the literature by testing whether stock prices are affected by the weather in a significantly different manner depending on the level of market development, and explaining how this difference behaves over time. In order to test for this, city-by-city, pooled and binary regressions are employed using data of 10 developed, and 10 emerging countries over the period 1996-2011 by using two different means of seasonal adjustment.
Efficiency And Volatility Dynamics Of Bangladesh S Stock Market
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Author : Md Abu Hasan
language : en
Publisher: Cambridge Scholars Publishing
Release Date : 2024-02-06
Efficiency And Volatility Dynamics Of Bangladesh S Stock Market written by Md Abu Hasan and has been published by Cambridge Scholars Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-02-06 with Business & Economics categories.
This book contributes to empirical finance by comprehensively analysing an emerging stock market, employing modern econometric techniques. The most central and fascinating area of financial economics is probably the efficiency and volatility of the stock market – however, studies of emerging economies are relatively limited in this area. The rising importance of stock market globalisation has increased interest in emerging markets. This book leads the way for an emerging market perspective, as it explores the issue of efficiency and volatility of the stock market in Bangladesh by employing both univariate and multivariate models, using daily data of past share prices and monthly data of macroeconomic variables and the stock index, respectively. This book offers an understanding of the crucial issues facing developing economies, particularly emerging stock markets with similar characteristics to those of Bangladesh. This book undoubtedly provides valuable information for investors in the stock market, graduate, post-graduate, and PhD students in quantitative financial economics, academics in economics and finance, and policymakers in developing economies.
The Internationalization Of Equity Markets
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Author : Jeffrey A. Frankel
language : en
Publisher: University of Chicago Press
Release Date : 2008-04-15
The Internationalization Of Equity Markets written by Jeffrey A. Frankel and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-04-15 with Business & Economics categories.
This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.