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Can Fundamentals Explain Cross-Country Correlations of Asset Returns?

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  • Fernando Restoy

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  • Rosa Rodríguez
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    File URL: http://hdl.handle.net/10.1007/s10290-006-0082-8
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    Bibliographic Info

    Article provided by Springer in its journal Review of World Economics.

    Volume (Year): 142 (2006)
    Issue (Month): 3 (October)
    Pages: 585-598

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    Handle: RePEc:spr:weltar:v:142:y:2006:i:3:p:585-598

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    Related research

    Keywords: Asset pricing models; cross-country correlations;

    References

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    1. Ammer, John & Mei, Jianping, 1996. " Measuring International Economic Linkages with Stock Market Data," Journal of Finance, American Finance Association, American Finance Association, vol. 51(5), pages 1743-63, December.
    2. Fernando Restoy & Philippe Weil, 1998. "Approximate Equilibrium Asset Prices," Sciences Po publications 6611, Sciences Po.
    3. French, Kenneth R & Poterba, James M, 1991. "Investor Diversification and International Equity Markets," American Economic Review, American Economic Association, vol. 81(2), pages 222-26, May.
    4. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
    5. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2000. "Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?," Working Papers 00-2, University of Pennsylvania, Wharton School, Weiss Center.
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    Cited by:
    1. Juan Ignacio Pena & Rosa Rodriguez, 2006. "On The Economic Link Between Asset Prices And Real Activity," Business Economics Working Papers, Universidad Carlos III, Departamento de Economía de la Empresa wb063209, Universidad Carlos III, Departamento de Economía de la Empresa.

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