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Risk and Return in International Corporate Bond Markets
De Santis, Roberto A. - 2020
pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …
Persistent link: https://www.econbiz.de/10012825946
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Emerging Equity Markets in a Globalizing World
Bekaert, Geert - 2017
emerging markets have increased, the process of integration of these markets into world markets is incomplete. To some degree …, this accounts for the disparity between emerging equity market capitalization in investable world equity market benchmarks … versus emerging market economies in the world economy. Currently, emerging markets account for about 40% of world GDP …
Persistent link: https://www.econbiz.de/10012973844
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Emerging Equity Markets in a Globalizing World
Bekaert, Geert - 2014
emerging markets have increased, the process of integration of these markets into world markets is incomplete. To some degree …, this accounts for the disparity between emerging equity market capitalization in investable world equity market benchmarks … versus emerging market economies in the world economy. Currently, emerging markets account for more than 30% of world GDP …
Persistent link: https://www.econbiz.de/10013051425
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Risk and Return in International Corporate Bond Markets
Bekaert, Geert - 2020
Corporate bond returns in major developed economies increase with lower ratings and higher residual maturity. The performance of various factor models featuring corporate, sovereign and equity markets as factors suggests that the corporate bond factor plays a dominant role in explaining the...
Persistent link: https://www.econbiz.de/10012849546
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Variance Risk in Global Markets
Bekaert, Geert - 2020
world to U.S. based equity variance risk. We explore implications for global risk premiums and asset return comovements …
Persistent link: https://www.econbiz.de/10012848035
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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007
We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation,...
Persistent link: https://www.econbiz.de/10011617371
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The Determinants of Stock and Bond Return Comovements
Baele, Lieven - 2011
We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation,...
Persistent link: https://www.econbiz.de/10013132852
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The European Union, the Euro, and Equity Market Integration
Bekaert, Geert; Harvey, Campbell; Lundblad, Christian; … - National Bureau of Economic Research (NBER) - 2010
At a time of historic challenges to the viability of the Eurozone, we assess the contribution of the EU and the Euro to equity market integration in Europe. We use a simple and essentially model free measure of bilateral market segmentation: two countries are segmented if there is a wide...
Persistent link: https://www.econbiz.de/10008756459
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The European Union, the Euro, and equity market integration
Bekaert, Geert; Harvey, Campbell R.; Lundblad, Christian T. - In: Journal of Financial Economics 109 (2013) 3, pp. 583-603
We use industry valuation differentials across European countries to study the impact of membership in the European Union as well as the Eurozone on both economic and financial integration. In integrated markets, discount rates and expected growth opportunities should be similar within one...
Persistent link: https://www.econbiz.de/10010681720
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Financial Openness and Productivity
Bekaert, Geert; Harvey, Campbell; Lundblad, Christian - National Bureau of Economic Research (NBER) - 2009
Financial openness is often associated with higher rates of economic growth. We show that the impact of openness on factor productivity growth is more important than the effect on capital growth. This explains why the growth effects of liberalization appear to be largely permanent, not...
Persistent link: https://www.econbiz.de/10005778218