Firm-Level Evidenceon International Stock Market Comovement

Firm-Level Evidenceon International Stock Market Comovement
We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific shocks. We find a large and highly significant... READ MORE...

Publication date: March 2003
ISBN 9781451847642
$15.00

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