کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963691 930389 2010 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Cashflow news, the value premium and an asset pricing view on European stock market integration
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Cashflow news, the value premium and an asset pricing view on European stock market integration
چکیده انگلیسی
The decomposition of national CAPM market betas of European countries' value and growth portfolio returns into cashflow and discount rate news driven components reveals that i) high average returns on value portfolios are associated with disproportionately high sensitivity to national cashflow news which corroborates recent evidence for the U.S. and ii) two-beta variants of national CAPMs capture the cross-sectional dispersion in European stock returns. The latter finding is suggestive of relatively well integrated stock markets among the core European countries and reflects basic asset pricing theory. One (national) discount factor should price any (international) asset.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 29, Issue 7, November 2010, Pages 1406-1423
نویسندگان
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