,000 publicly listed European firms over 2011-21 to study the impact of carbon policy on stock returns. After extracting the … surprise component of regulatory actions, we show that events resulting in a higher carbon price lead to negative returns for …

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 … consisting of stocks with low exposures to country shocks achieve substantial variance reduction relative to the global market …

transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …

A perennial question in international finance is to what extent stock returns are influenced by country-location, as …

This paper revisits the relative importance of global versus country-specific factors underlying stock returns. It … down stock returns into a global business cycle factor, global industry factors, country-specific factors and firm …-level effects. The results indicate that the share of variation in stock returns explained by global industry factors has grown …