منابع مشابه
Nber Working Paper Series International Stock Return Comovements
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 tr...
متن کاملEMG Working Paper Series WP - EMG - 05 - 2007 ‘ International Stock Return Comovements
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 tr...
متن کاملInternational stock return predictability under model uncertainty
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive international dataset, we find that interest-rate related variables are usually among the most prominent predict...
متن کاملInternational Stock Return Predictability under Model Uncertainty
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive international dataset, we find that interest-rate related variables are usually among the most prominent predict...
متن کاملThe Risk-Return Relation in International Stock Markets
We investigate the risk-return relation in international stock markets using realized variance constructed from MSCI (Morgan Stanley Capital International) daily stock price indices. In contrast with the capital asset pricing model, realized variance by itself provides negligible information about future excess stock market returns; however, we uncover a positive and significant risk-return tra...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2009
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.2009.01512.x