کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
964837 930630 2007 27 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Financial integration and the price of world covariance risk: Large- vs. small-cap stocks
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Financial integration and the price of world covariance risk: Large- vs. small-cap stocks
چکیده انگلیسی
We investigate whether recent country-level evidence of global pricing is particular to large-cap stocks. Specifically, we examine cross-country return correlations and conduct asset pricing tests on three size-based stock portfolios for nine developed countries over the period from 1980 to 2004. We find that large-cap stocks realize significant comovements across countries, whereas small-cap stocks realize smaller average correlations (relative to both large-cap stocks and small-cap stocks across countries). More important, asset pricing tests suggest that while large-cap stocks are priced globally, global pricing is rejected for most small-cap stocks. Finally, the evidence indicates that financial integration deepened in recent years primarily for large-cap stocks. Overall, the results suggest that the global pricing pertains chiefly to large-cap stocks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 26, Issue 8, December 2007, Pages 1311-1337
نویسندگان
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