Showing 1 - 10 of 90
We analyze the transmission of the financial crisis of 2007 to 2009 to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of...
Persistent link: https://www.econbiz.de/10010229208
Persistent link: https://www.econbiz.de/10010502200
Persistent link: https://www.econbiz.de/10001202800
Persistent link: https://www.econbiz.de/10001662221
Persistent link: https://www.econbiz.de/10001462130
Persistent link: https://www.econbiz.de/10012801548
Persistent link: https://www.econbiz.de/10001634671
Persistent link: https://www.econbiz.de/10001493312
Persistent link: https://www.econbiz.de/10002827392
Persistent link: https://www.econbiz.de/10001738796