The New Economy and Global Stock Return
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, gl...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2000
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| Schriftenreihe: | IMF Working Papers
Working Paper No. 00/216 |
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| Zusammenfassung: | 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 |
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| Beschreibung: | 1 Online-Ressource (39 p) |
| ISBN: | 1451875088 9781451875089 |