Factors affecting returns across stock markets
Complementing recent research on the factors explaining differences in mean returns across stocks within the U.S. (Fama & French, 1992) and Japanese (Chan, Hamio, & Lakonishok, 1991) markets, this article reports the results of an investigation of factors hypothesized to explain differences...
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| Veröffentlicht in: | Global finance journal 1997, Vol.8 (1), p.1-14 |
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| container_title | Global finance journal |
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| creator | Madura, Jeff Tucker, Alan L. Wiley, Marilyn |
| description | Complementing recent research on the factors explaining differences in mean returns across stocks within the U.S. (Fama & French, 1992) and Japanese (Chan, Hamio, & Lakonishok, 1991) markets, this article reports the results of an investigation of factors hypothesized to explain differences in mean returns across entire national stock markets. Unlike most studies focused solely on U.S. stocks, this study does not find a beta or size effect in the assessment of national stock market movements. The most relevant factor for explaining disparate returns across markets is country risk. |
| doi_str_mv | 10.1016/S1044-0283(97)90002-8 |
| format | Article |
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| identifier | ISSN: 1044-0283 |
| ispartof | Global finance journal, 1997, Vol.8 (1), p.1-14 |
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| language | eng |
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| source | RePEc; Elsevier ScienceDirect Journals; Business Source Complete |
| subjects | Book value Emerging markets Foreign exchange rates Hypotheses Investments Manycountries New stock market listings Political risk Rates of return Ratios Securities markets Statistical analysis Stock exchanges Stock prices Studies |
| title | Factors affecting returns across stock markets |
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