A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns

A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns
We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by the extent to which firms operate across countries.... READ MORE...

Publication date: March 2005
ISBN 9781451860719
$15.00

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