The New Economy and Global Stock Return PDF
By:Robin Brooks,Luis Catão
Published on 2000-12-01 by International Monetary Fund
This paper revisits the relative importance of global versus country-specific factors underlying stock returns. It constructs a new firm level data set covering emerging and developed markets and estimates a simple factor model, which breaks down stock returns into a global business cycle factor, global industry factors, country-specific factors and firm-level effects. The results indicate that the share of variation in stock returns explained by global industry factors has grown sharply since the mid-1990s, at the expense of country-specific factors. Foremost among the global factors is a “new economy” factor, which has become a key determinant of global stock returns.
This Book was ranked at 41 by Google Books for keyword Stocks.
Book ID of The New Economy and Global Stock Return's Books is RsPcTXxaBeMC, Book which was written byRobin Brooks,Luis Catãohave ETAG "SykBmSI43aM"
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