Series: IMF Working Papers
Author(s): Luis Catão , and Robin Brooks
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 December 2000
Keywords: portfolio diversification, international financial integration, new economy, stock returns, stock market, equity markets, standard deviations, standard deviation
This paper revisits the relative importance of global versus country-specific factors underlying stock returns. It constructs a new firm level data set covering emerging and developed markets and estimates a simple...