The New Economy and Global Stock Returns

Author/Editor:

Luis Catão ; Robin Brooks

Publication Date:

December 1, 2000

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

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.

Series:

Working Paper No. 00/216

Subject:

English

Publication Date:

December 1, 2000

ISBN/ISSN:

9781451875089/1018-5941

Stock No:

WPIEA2162000

Price:

$15.00 (Academic Rate:$15.00)

Format:

Paper

Pages:

39

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