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Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/19519
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Brooks, Robin | | en_US |
| dc.contributor.author | | Del Negro, Marco | | en_US |
| dc.date.accessioned | | 2009-01-28T15:59:08Z | | - |
| dc.date.available | | 2009-01-28T15:59:08Z | | - |
| dc.date.issued | | 2005 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/19519 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.relation.ispartofseries | | Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2005,11 | | en_US |
| dc.subject.jel | | G11 | | en_US |
| dc.subject.jel | | G15 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Diversification | | en_US |
| dc.subject.keyword | | risk | | en_US |
| dc.subject.keyword | | international financial markets | | en_US |
| dc.subject.keyword | | industrial structure | | en_US |
| dc.subject.stw | | Internationaler Finanzmarkt | | en_US |
| dc.subject.stw | | Kapitalertrag | | en_US |
| dc.subject.stw | | Portfolio-Management | | en_US |
| dc.subject.stw | | Portfolio-Investition | | en_US |
| dc.subject.stw | | Internationaler Preiszusammenhang | | en_US |
| dc.subject.stw | | Globalisierung | | en_US |
| dc.subject.stw | | Welt | | en_US |
| dc.title | | Firm-level evidence on international stock market comovement | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 487739485 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:bubdp1:3370 | | - |
| Appears in Collections: | | Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank
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