International Stock Return Comovements

摘要：

We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, we do not find evidence for an upward trend in return correlations, except for the European stock markets. Second, the increasing importance of industry factors relative to country factors was a short-lived, temporary phenomenon. Third, we find no evidence for a trend in idiosyncratic risk in any of the countries we examine.

关键词： Comovements APT model international diversification correlation dynamics industrycountry debate

作者: Geert Bekaert Robert J.Hodrick Xiaoyan Zhang

作者单位: Graduate School of Business,Columbia University,New York,NY 10027,USA; NBER,1050 Massachusetts Avenu Johnson Graduate School of Management,Cornell University,Ithaca,NY 14853,USA

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）