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This paper presents new evidence on international financial market integration using stock analyst earnings forecasts from 37 countries. By examining cash flow and discount rate news co-movements, we find that the financial and economic aspects of global market integration have diverged over...
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In a two-country portfolio model with leverage constraints, I focus on private assets in order to understand how their behaviour can justify an expected excess return as well as the flight-to-safety observed in the data. The specific goal is to study how much these phenomena are explained by the...
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with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the …
Persistent link: https://www.econbiz.de/10012783344
with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the …
Persistent link: https://www.econbiz.de/10012466855
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This paper examines the relative importance of global, country-specific, and industry-specific factors in both the cash flow and discount rate components of equity returns between 1995 and 2003. Our framework draws upon previously separate literatures on country versus industry effects and...
Persistent link: https://www.econbiz.de/10014069349