Nber Working Paper Series International Stock Return Comovements
نویسندگان
چکیده
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. Geert Bekaert Graduate School of Business Columbia University New York, NY 10027 and NBER [email protected] Robert J. Hodrick Graduate School of Business Columbia University New York, NY 10027 and NBER [email protected] Xiaoyan Zhang Johnson Graduate School of Management Cornell University Ithaca, NY 14853 [email protected]
منابع مشابه
EMG 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 کاملNber Working Paper Series Return Persistence and Fund Flows in the Worst Performing Mutual Funds
We document that the observed persistence amongst the worst performing actively managed mutual funds is attributable to funds that have performed poorly both in the current and prior year. We demonstrate that this persistence results from an unwillingness of investors in these funds to respond to bad performance by withdrawing their capital. In contrast, funds that only performed poorly in the ...
متن کاملNber Working Paper Series the Returns on Human Capital: Good News on Wall Street Is Bad News on Main Street
We use a standard single-agent model to conduct a simple consumption growth accounting exercise. Consumption growth is driven by news about current and expected future returns on the market portfolio. The market portfolio includes financial and human wealth. We impute the residual of consumption growth innovations that cannot be attributed to either news about financial asset returns or future ...
متن کاملThe impact of financial crises on the risk–return tradeoff and the leverage effect☆
We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk-return tradeoff and the leverage effect. We apply the fractionally integrated exponential GARCH-in-mean (FIEGARCH-M) model for daily stock return data, which includes both features and allows the co-existence of long memory in volatility and short memory in returns. We extend this model ...
متن کامل