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Emerging equity markets have become increasingly interrelated over the past two decades. For a sample of 32 emerging markets from four different regions we find significant positive time trends in cross-country correlations within regions, correlations across regions and in comovements with the...
Persistent link: https://www.econbiz.de/10012709822
Currency risk hedging typically aims at minimizing portfolio volatility. We find that while hedging lowers the volatility of international equity and bond portfolios, it also lowers portfolio returns. Furthermore, Sharpe ratios often deteriorate, portfolio skewness worsens and its kurtosis...
Persistent link: https://www.econbiz.de/10012712444
Human capital is one of the largest assets in the economy and in theory it may play an important role for asset pricing. Human capital is heterogeneous across investors and one source of heterogeneity is industry affiliation. I show that the cross-section of expected stock returns is primarily...
Persistent link: https://www.econbiz.de/10012756675
This paper investigates whether Euro-zone equity returns are driven by country or industry effects over the 1990 to 2008 period. Using a style analysis approach, we find that before the introduction of the Euro country effects dominate, while industry effects prevail after 1999. This reversal at...
Persistent link: https://www.econbiz.de/10012717795
We examine the relative importance of country, industry, world market and currency risk factors for international stock returns. Our approach focuses on testing the mean-variance efficiency of the various factor portfolios. An unconditional analysis does not detect significant differences...
Persistent link: https://www.econbiz.de/10012717895
Persistent link: https://www.econbiz.de/10009979131
Persistent link: https://www.econbiz.de/10010064913
We examine the relative importance of country, industry, world market and currency risk factors for international stock returns. Our approach focuses on testing the mean-variance efficiency of the various factor portfolios. An unconditional analysis does not show significant differences between...
Persistent link: https://www.econbiz.de/10010599346
This paper uses style analysis to investigate whether Euro-zone equity returns are driven by country or industry effects over the 1990--2008 period. We find that before the introduction of the Euro, country effects dominate, while industry effects prevail after 1999. This reversal is driven...
Persistent link: https://www.econbiz.de/10010581051
We investigate, from a portfolio performance perspective, the relative importance of country and industry factors as determinants of international equity returns in the Euro-zone over the 1990 to 2003 period. Although industry- and country-based portfolios are indistinguishable in terms of...
Persistent link: https://www.econbiz.de/10005553678