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Equity Returns and Integration: Is Europe Changing?

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  • Kpate Adjaouté
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    Abstract

    This paper analyses the consequences of the process of financial and economic integration on European equity markets. It documents significant changes in 'fundamentals', notably an increased synchronization of macroeconomic activities, and a non-negligible evolution in pricing, with a decrease in the cost of capital and converging equity premiums. As to equity returns themselves, in the face of what could turn out to be long-run upward trends in the correlations among both country and sector returns and a narrowing of the superiority of country factors, the benefits to be gained from finding diversification opportunities at a more disaggregated level appear to be higher than ever. Copyright 2004, Oxford University Press.

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    Bibliographic Info

    Article provided by Oxford University Press in its journal Oxford Review of Economic Policy.

    Volume (Year): 20 (2004)
    Issue (Month): 4 (Winter)
    Pages: 555-570

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    Handle: RePEc:oup:oxford:v:20:y:2004:i:4:p:555-570

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    Cited by:
    1. Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad & Stephan Siegel, 2010. "The European Union, the Euro, and Equity Market Integration," NBER Working Papers 16583, National Bureau of Economic Research, Inc.
    2. Berger, Tino & Pozzi, Lorenzo, 2013. "Measuring time-varying financial market integration: An unobserved components approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 463-473.
    3. Siedschlag, Iulia, 2009. "Macroeconomic Differentials and Adjustment in the Euro Area," Papers RB2009/3/1, Economic and Social Research Institute (ESRI).
    4. Gianni De Nicolò & Luciana Juvenal, 2012. "Financial Integration, Globalization, and Real Activity," CESifo Working Paper Series 3737, CESifo Group Munich.
    5. Haselmann, Rainer & Herwartz, Helmut, 2008. "Portfolio performance and the Euro: Prospects for new potential EMU members," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 314-330, March.
    6. Gianni De Nicoló & Alexander F. Tieman, 2006. "Economic Integration and Financial Stability," IMF Working Papers 06/296, International Monetary Fund.
    7. Barrett, Alan & Bergin, Adele & FitzGerald, John & Traistaru-Siedschlag, Iulia, 2006. "Economic Assessment of the Euro Area: Forecasts and Policy Analysis, Autumn Report 2006," Research Series, Economic and Social Research Institute (ESRI), number sustat22, September.
    8. Philip Lane & Sébastien Wälti, 2006. "The Euro and Financial Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp139, IIIS.

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