Sector Versus Country Effects In Global Equity Markets
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Author | : Ting Zheng |
Publisher | : |
Total Pages | : 84 |
Release | : 2003 |
Genre | : Portfolio management |
ISBN | : |
Download Sector Versus Country Effects in Global Equity Markets Book in PDF, Epub and Kindle
Author | : Lichuan Xia |
Publisher | : |
Total Pages | : 42 |
Release | : 2007 |
Genre | : |
ISBN | : |
Download The Changing Role of Industry and Country Effects in Global Equity Markets Book in PDF, Epub and Kindle
Using a comprehensive database covering 50 industry groups and 34 countries over the period 1992 to 2001 this paper examines the roles of the country and industry effects in international equity returns. It focuses on their evolution and on geographical differences. Although the country effects still dominate the industry effects in the full sample period, there has been a major upward shift in the industry effects since 1999, especially in Europe and North America. This is not confined to the Technology, Telecommunications and Media sectors and is not thus a temporary phenomenon. These developments have implications for international portfolio diversification.
Author | : Sanne De Boer |
Publisher | : |
Total Pages | : |
Release | : 2019 |
Genre | : |
ISBN | : |
Download Country and Sector Drive Low-Volatility Investing in Global Equity Markets Book in PDF, Epub and Kindle
Low-risk stocks have historically outperformed high-risk stocks, delivering better long-term returns with less volatility. This counter-intuitive effect has persisted since 1926, violating one of the basic tenets of Finance Theory. We investigate the role of country and sector effects in low-volatility investing in global equities and find that this strategy has a pronounced “anti-bubble” behavior. As a result, most of the benefit of the low-volatility anomaly can be earned through country and sector selection in lieu of individual stock selection. Additionally, we see that this approach mitigates many of the implementation pitfalls associated with the minimum-volatility stock portfolio. We conclude that sector and country selection is a more practical approach to individual stock selection for capturing the benefits of low-volatility investing in global equities.
Author | : Foort Hamelink |
Publisher | : |
Total Pages | : 36 |
Release | : 2001 |
Genre | : |
ISBN | : |
Download Country, Sector Or Style Book in PDF, Epub and Kindle
Author | : Peter J. B. Hopkins |
Publisher | : Wiley |
Total Pages | : 88 |
Release | : 2001-11-28 |
Genre | : Business & Economics |
ISBN | : 9780943205526 |
Download Country, Sector, and Company Factors in Global Equity Portfolios Book in PDF, Epub and Kindle
Indispensible to anyone who is charged with the responsibility of forecasting returns, estimating risk, or structuring efficient portfolios in the global arena, this book is an invaluable reference. Hopkins and Miller combine clear and thorough descriptions of a variety of statistical methods while analysizing four dimensions of global equity portfolios: countries, sectors, industries and companies.
Author | : Mr.Allan Timmermann |
Publisher | : International Monetary Fund |
Total Pages | : 51 |
Release | : 2003-03-01 |
Genre | : Business & Economics |
ISBN | : 1451847270 |
Download Country and Industry Dynamics in Stock Returns Book in PDF, Epub and Kindle
A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking "pure" country and industry factors are first constructed and their joint dynamics then modeled as regime-switching processes. Estimation using global firm-level data allows us to identify well-defined volatility states over the past thirty years and shows that the contribution of the industry factor becomes systematically more prominent during high global volatility states, while the country factor contribution declines. Using the model's estimates, we find that portfolio diversification possibilities vary considerably across economic states.
Author | : Jianguo Chen |
Publisher | : |
Total Pages | : |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Sector Effects in Developed vs. Emerging Markets Book in PDF, Epub and Kindle
This examination of developed and emerging markets suggests that toward the end of the 20th century, sector effects caught up with country effects in the developed markets of the world, as a result of rising sector effects rather than declining country effects. For emerging markets, however, country effects have remained the dominant influence relative to sector effects, although the importance of country effects has been on a steady decline. These results confirm that international equity managers should emphasize sector-based approaches when investing in the developed countries but should continue country-based allocation strategies in emerging markets.
Author | : Bodi Zhang |
Publisher | : |
Total Pages | : |
Release | : 2017 |
Genre | : |
ISBN | : |
Download International Portfolio Diversification Book in PDF, Epub and Kindle
Author | : Frank J. Fabozzi |
Publisher | : John Wiley & Sons |
Total Pages | : 576 |
Release | : 2011-09-20 |
Genre | : Business & Economics |
ISBN | : 1118156552 |
Download Equity Valuation and Portfolio Management Book in PDF, Epub and Kindle
A detailed look at equity valuation and portfolio management Equity valuation is a method of valuing stock prices using fundamental analysis to determine the worth of the business and discover investment opportunities. In Equity Valuation and Portfolio Management Frank J. Fabozzi and Harry M. Markowitz explain the process of equity valuation, provide the necessary mathematical background, and discuss classic and new portfolio strategies for investment managers. Divided into two comprehensive parts, this reliable resource focuses on valuation and portfolio strategies related to equities. Discusses both fundamental and new techniques for valuation and strategies Fabozzi and Markowitz are experts in the fields of investment management and economics Includes end of chapter bullet point summaries, key chapter take-aways, and study questions Filled with in-depth insights and practical advice, Equity Valuation and Portfolio Management will put you in a better position to excel at this challenging endeavor.
Author | : Mr.Paul Cashin |
Publisher | : International Monetary Fund |
Total Pages | : 58 |
Release | : 1995-11-01 |
Genre | : Business & Economics |
ISBN | : 1451853289 |
Download International Integration of Equity Markets and Contagion Effects Book in PDF, Epub and Kindle
This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move similarly across countries and regions in the long run; and second, the strength of cross-country “contagion” effects. The paper’s findings suggest that both intra-regional and inter-regional linkages across national equity markets have strengthened in recent years. In addition, using impulse response functions, the paper shows that cross-country contagion effects of country-specific shocks dissipate in a matter of weeks while contagion effects of global shocks take several months to unwind themselves.