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dc.contributor.authorBrooks, Robinen
dc.contributor.authorDel Negro, Marcoen
dc.date.accessioned2009-01-28T15:59:08Z-
dc.date.available2009-01-28T15:59:08Z-
dc.date.issued2005-
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 1 |x2005,11en
dc.subject.jelG11en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordDiversificationen
dc.subject.keywordrisken
dc.subject.keywordinternational financial marketsen
dc.subject.keywordindustrial structureen
dc.subject.stwInternationaler Finanzmarkten
dc.subject.stwKapitalertragen
dc.subject.stwPortfolio-Managementen
dc.subject.stwPortfolio-Investitionen
dc.subject.stwInternationaler Preiszusammenhangen
dc.subject.stwGlobalisierungen
dc.subject.stwWelten
dc.titleFirm-level evidence on international stock market comovement-
dc.typeWorking Paperen
dc.identifier.ppn487739485en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp1:3370en

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