The New Economy and Global Stock Returns
Electronic Access:
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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. 2000/216
Subject:
Emerging and frontier financial markets Financial institutions Financial markets Market capitalization Stock markets Stocks Technology
English
Publication Date:
December 1, 2000
ISBN/ISSN:
9781451875089/1018-5941
Stock No:
WPIEA2162000
Pages:
39
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