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https://hdl.handle.net/10419/19519
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Brooks, Robin | en |
dc.contributor.author | Del Negro, Marco | en |
dc.date.accessioned | 2009-01-28T15:59:08Z | - |
dc.date.available | 2009-01-28T15:59:08Z | - |
dc.date.issued | 2005 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aDeutsche Bundesbank |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aDiscussion Paper Series 1 |x2005,11 | en |
dc.subject.jel | G11 | en |
dc.subject.jel | G15 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Diversification | en |
dc.subject.keyword | risk | en |
dc.subject.keyword | international financial markets | en |
dc.subject.keyword | industrial structure | en |
dc.subject.stw | Internationaler Finanzmarkt | en |
dc.subject.stw | Kapitalertrag | en |
dc.subject.stw | Portfolio-Management | en |
dc.subject.stw | Portfolio-Investition | en |
dc.subject.stw | Internationaler Preiszusammenhang | en |
dc.subject.stw | Globalisierung | en |
dc.subject.stw | Welt | en |
dc.title | Firm-level evidence on international stock market comovement | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 487739485 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:bubdp1:3370 | en |
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