Firm-Level Evidenceon International Stock Market Comovement:

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 sho...

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Bibliographic Details
Main Author: Brooks, Robin (Author)
Format: Electronic eBook
Language:English
Published: Washington, D.C International Monetary Fund 2003
Series:IMF Working Papers Working Paper No. 03/55
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Summary: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 country-specific shocks by 1.5 percent. This link has grown stronger since the mid-1980s
Physical Description:1 Online-Ressource (31 p)
ISBN:1451847645
9781451847642

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