@techreport{Brooks2005Firm,
abstract = {We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific shocks. We find a large and highly significant link : on average, a firm raising its international sales by 10 percent raises the exposure of its stock return to global shocks by 2 percent and reduces its exposure to countryspecific shocks by 1.5 percent. This link has grown stronger since the mid-1980s.},
author = {Robin Brooks and Marco Del Negro},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G11; G15; 330; Diversification; risk; international financial markets; industrial structure; Internationaler Finanzmarkt; Kapitalertrag; Portfolio-Management; Portfolio-Investition; Internationaler Preiszusammenhang; Globalisierung; Welt},
language = {eng},
number = {2005,11},
title = {Firm-level evidence on international stock market comovement},
type = {Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank},
url = {http://hdl.handle.net/10419/19519},
year = {2005}
}
