{
  "title": "The New Economy and Global Stock Returns",
  "publication": "IMF Working Papers, December 1, 2000",
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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, gl",
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    {
      "heading": "Summary",
      "content": "- Paper revisits the relative importance of global versus country-specific factors underlying stock returns.\n- Constructs a new firm level data set covering emerging and developed markets.\n- Estimates a simple factor model that breaks down stock returns into:\n  - a global business cycle factor,\n  - global industry factors,\n  - country-specific factors,\n  - firm-level effects.\n- Key result: 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.\n- Foremost among the global factors is a “new economy” factor, which has become a key determinant of global stock returns."
    },
    {
      "heading": "Data and Methodology",
      "content": "- New firm level data set covering emerging and developed markets.\n- Empirical approach: estimation of a simple factor model decomposing returns into global business cycle, global industry, country-specific, and firm-level components."
    },
    {
      "heading": "Main Findings",
      "content": "- Global industry factors:\n  - The share of variation in stock returns explained by global industry factors has grown sharply since the mid-1990s.\n- Country-specific factors:\n  - The explanatory power of country-specific factors has declined as global industry factors rose.\n- New economy factor:\n  - Identified as foremost among global factors.\n  - Described as a key determinant of global stock returns."
    },
    {
      "heading": "Subject Areas and Keywords",
      "content": "- Subject areas: Emerging and frontier financial markets, Financial institutions, Financial markets, Market capitalization, Stock markets, Stocks, Technology.\n- Keywords include: Africa, company, country factor, Emerging and frontier financial markets, emerging markets company, factor, factor model, factor return variance, Global, high-tech company, industry factor, industry-affiliation factor rise, international financial integration, Market capitalization, merger company, new economy, only firm, portfolio diversification, stock markets, Stocks, time series, WP.\n\n---\n\n Content in this bundle\n\n- The New Economy and Global Stock Returns - WP/00/216\n  - The New Economy and Global Stock Returns - WP/00/216 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - The New Economy and Global Stock Returns - WP/00/216 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/30/the-new-economy-and-global-stock-returns-3937"
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    "Authors: Luis Catão, Robin Brooks",
    "Published: December 1, 2000",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451875089.001",
    "Paper revisits the relative importance of global versus country-specific factors underlying stock returns.",
    "Constructs a new firm level data set covering emerging and developed markets.",
    "Estimates a simple factor model that breaks down stock returns into:",
    "Key result: 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.",
    "New firm level data set covering emerging and developed markets.",
    "Empirical approach: estimation of a simple factor model decomposing returns into global business cycle, global industry, country-specific, and firm-level components.",
    "Global industry factors:",
    "Country-specific factors:",
    "New economy factor:",
    "Subject areas: Emerging and frontier financial markets, Financial institutions, Financial markets, Market capitalization, Stock markets, Stocks, Technology.",
    "Keywords include: Africa, company, country factor, Emerging and frontier financial markets, emerging markets company, factor, factor model, factor return variance, Global, high-tech company, industry factor, industry-affiliation factor rise, international financial integration, Market capitalization, merger company, new economy, only firm, portfolio diversification, stock markets, Stocks, time series, WP.",
    "**The New Economy and Global Stock Returns - WP/00/216**"
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