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Globalization and Asset Returns
Bekaert, Geert - 2016
We provide a comprehensive analysis of the impact of economic and financial globalization on asset return comovements … over the past 35 years. Our globalization indicators draw a distinction between de jure openness that results from changes … different asset classes. Although globalization has trended positively for most of our sample, the global financial crisis and …
Persistent link: https://www.econbiz.de/10012984374
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The global crisis and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - 2014
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
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International Yield Co-movements
Bekaert, Geert - 2020
We decompose 5 year nominal bond yields into real and inflation components in an international context using inflation-linked and nominal bonds. Real rate variation dominates the variation in inflation-linked and nominal yields, but liquidity and inflation risk premiums are also important....
Persistent link: https://www.econbiz.de/10012848948
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Global crises and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel - 2011
quality of countries' economic fundamentals and policies. Consequently, we reject the globalization hypothesis that links the …
Persistent link: https://www.econbiz.de/10009380410
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Global Crises and Equity Market Contagion
Bekaert, Geert - 2012
Using the 2007-09 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of...
Persistent link: https://www.econbiz.de/10013114659
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Global Crises and Equity Market Contagion
Bekaert, Geert - 2012
. Consequently, we reject the globalization hypothesis that links the transmission of the crisis to the extent of global exposure …
Persistent link: https://www.econbiz.de/10013109074
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Emerging Equity Markets in a Globalizing World
Bekaert, Geert - 2017
Given the dramatic globalization over the past twenty years, does it make sense to segregate global equities into … 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 …
Persistent link: https://www.econbiz.de/10012973844
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Emerging Equity Markets in a Globalizing World
Bekaert, Geert - 2014
Given the dramatic globalization over the past twenty years, does it make sense to segregate global equities into … 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 …
Persistent link: https://www.econbiz.de/10013051425
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Global Crises and Equity Market Contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - 2021
quality of countries’ economic fundamentals and policies. Consequently, we reject the globalization hypothesis that links the …
Persistent link: https://www.econbiz.de/10013315979
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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