Country and Industry Dynamics in Stock Returns:
A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking ""pure"" country and indu...
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
2003
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Schriftenreihe: | IMF Working Papers
Working Paper No. 03/52 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
Zusammenfassung: | A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking ""pure"" country and industry factors are first constructed and their joint dynamics then modeled as regime-switching processes. Estimation using global firm-level data allows us to identify well-defined volatility states over the past thirty years and shows that the contribution of the industry factor becomes systematically more prominent during high global volatility states, while the country factor contribution declines. Using the model''s estimates, we find that portfolio diversification possibilities vary considerably across economic states |
Beschreibung: | 1 Online-Ressource (51 p) |
ISBN: | 1451847270 9781451847277 |
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spelling | Catão, Luis Verfasser aut Country and Industry Dynamics in Stock Returns Catão, Luis Washington, D.C International Monetary Fund 2003 1 Online-Ressource (51 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 03/52 A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking ""pure"" country and industry factors are first constructed and their joint dynamics then modeled as regime-switching processes. Estimation using global firm-level data allows us to identify well-defined volatility states over the past thirty years and shows that the contribution of the industry factor becomes systematically more prominent during high global volatility states, while the country factor contribution declines. Using the model''s estimates, we find that portfolio diversification possibilities vary considerably across economic states Online-Ausg Timmermann, Allan Sonstige oth http://elibrary.imf.org/view/IMF001/01422-9781451847277/01422-9781451847277/01422-9781451847277.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Catão, Luis Country and Industry Dynamics in Stock Returns |
title | Country and Industry Dynamics in Stock Returns |
title_auth | Country and Industry Dynamics in Stock Returns |
title_exact_search | Country and Industry Dynamics in Stock Returns |
title_exact_search_txtP | Country and Industry Dynamics in Stock Returns |
title_full | Country and Industry Dynamics in Stock Returns Catão, Luis |
title_fullStr | Country and Industry Dynamics in Stock Returns Catão, Luis |
title_full_unstemmed | Country and Industry Dynamics in Stock Returns Catão, Luis |
title_short | Country and Industry Dynamics in Stock Returns |
title_sort | country and industry dynamics in stock returns |
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