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http://hdl.handle.net/10419/19519
  

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dc.contributor.authorBrooks, Robinen_US
dc.contributor.authorDel Negro, Marcoen_US
dc.date.accessioned2009-01-28T15:59:08Z-
dc.date.available2009-01-28T15:59:08Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/19519-
dc.description.abstractWe 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.isoengen_US
dc.relation.ispartofseriesDiscussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2005,11en_US
dc.subject.jelG11en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordDiversificationen_US
dc.subject.keywordrisken_US
dc.subject.keywordinternational financial marketsen_US
dc.subject.keywordindustrial structureen_US
dc.subject.stwInternationaler Finanzmarkten_US
dc.subject.stwKapitalertragen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwPortfolio-Investitionen_US
dc.subject.stwInternationaler Preiszusammenhangen_US
dc.subject.stwGlobalisierungen_US
dc.subject.stwWelten_US
dc.titleFirm-level evidence on international stock market comovementen_US
dc.typeWorking Paperen_US
dc.identifier.ppn487739485en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp1:3370-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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