Working Papers in full text
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
All
Other research-related activities and publications of the IMF can be found at IMF Research
|
Free Email Notification
Receive emails when we post new
items of interest to you.
Subscribe or
Modify your profile
|
|
|
|
Country and Industry Dynamics in Stock Returns
|
Author/Editor: |
Catão, Luis | Timmermann, Allan |
| Authorized for Distribution: |
March 1, 2003 |
|
Electronic Access: |
Free Full Text (PDF file size is 1,671KB)
Use the free Adobe Acrobat Reader to view this PDF file.
|
|
|
|
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: 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.
|
|
|
|
Order a print copy
|
|
Series: |
Working Paper No. 03/52 |
|
Subject(s): |
Stock markets | International capital markets | Economic models |
|
Author's keyword(s): |
Diversification
| Risk
| Volatility States
| Regime Switching
| International Financial markets
|
|
|
|
|
| |
Published: |
|
March 1, 2003 |
|
|
|
|
| |
ISBN/ISSN: |
|
0 / 1934-7073 |
|
Format: |
|
Paper |
| |
Stock No: |
|
WPIEA0522003 |
|
Pages: |
|
50 |
| |
Price: |
|
US$15.00 (Academic Rate: US$15.00 )
|
|
|
|
|
|
|
