Showing 1 - 10 of 82
We examine international stock return comovements using country-industry and country-style portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We then establish the...
Persistent link: https://www.econbiz.de/10012466765
Persistent link: https://www.econbiz.de/10000675607
Persistent link: https://www.econbiz.de/10001203643
Persistent link: https://www.econbiz.de/10001184815
Persistent link: https://www.econbiz.de/10001174927
Persistent link: https://www.econbiz.de/10012135163
Persistent link: https://www.econbiz.de/10011615762
Persistent link: https://www.econbiz.de/10010502200
Persistent link: https://www.econbiz.de/10001752071
Persistent link: https://www.econbiz.de/10001738796