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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...
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-switching model, allows us to describe expected returns in countries that are segmented from world capital markets in one part of the …
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to providing new insights on contagion during crisis periods, we document patterns through time in world and regional …
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-switching model, allows us to describe expected returns in countries that are segmented from world capital markets in one part of the …
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