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|z 9781451875089
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Catao, Luis.
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|a The New Economy and Global Stock Returns /
|c Luis Catao, Robin Brooks.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2000.
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|a 1 online resource (39 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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 factor model, which breaks down stock returns into a global business cycle factor, global industry factors, country-specific factors and firm-level effects. The results indicate that the share of variation in stock returns explained by global industry factors has grown sharply since the mid-1990s, at the expense of country-specific factors. Foremost among the global factors is a 'new economy' factor, which has become a key determinant of global stock returns.
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|a Mode of access: Internet
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|a Brooks, Robin.
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|a IMF Working Papers; Working Paper ;
|v No. 2000/216
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2000/216/001.2000.issue-216-en.xml
|z IMF e-Library
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