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An overview of returns in Europe

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Author Info
Hans Eijgenhuijsen, Adrian Buckley
Abstract

This paper is an attempt to present a digest of European security returns. In this respect, Table 7 summarizes key data over recent years. The table presents information for the period 1967 to 1990. By and large, within Europe, equity returns appear to be very similar. To the extent that if differences exist, they can probably be attributed to too short a period for utterly unambiguous data on returns to be achieved. But there may be another explanation which relates to an international capital asset pricing model and the sinews of this topic are explored towards the end of the paper. Data are presented which compare and contrast the part played by equity markets in the structure of corporate financing in Europe. These show the contrasting cult of the equity share, with its high emphasis in Britain and much lower role in Germany and France, for example. Other statistics reveal differing share ownership structures and pension fund portfolio distributions in European countries. That the topic of realized European security returns requires further research is obviously the case. It is hoped that this paper- and others in this issue- will stimulate a desire to undertake the necessary investigations.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal The European Journal of Finance.

Volume (Year): 5 (1999)
Issue (Month): 3 (September)
Pages: 276-297
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:taf:eurjfi:v:5:y:1999:i:3:p:276-297

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Related research
Keywords: European Security Returns; Equity Markets; Share Ownership; International; Capital Asset Pricing Model;

References listed on IDEAS
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  1. Haugen, Robert A. & Baker, Nardin L., 1996. "Commonality in the determinants of expected stock returns," Journal of Financial Economics, Elsevier, vol. 41(3), pages 401-439, July. [Downloadable!] (restricted)
  2. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June. [Downloadable!] (restricted)
  3. Howe, John S. & Madura, Jeff, 1990. "The impact of international listings on risk : Implications for capital market integration," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1133-1142, December. [Downloadable!] (restricted)
  4. Steven J Cochran & Iqbal Mansur, 1991. "The Interrelationships Between U.S. and Foreign Equity Market Yields: Tests of Granger Causality," Journal of International Business Studies, Palgrave Macmillan Journals, vol. 22(4), pages 723-736, December. [Downloadable!] (restricted)
  5. Severn, Alan K, 1974. "Investor Evaluation of Foreign and Domestic Risk," Journal of Finance, American Finance Association, vol. 29(2), pages 545-50, May. [Downloadable!] (restricted)
  6. Hughes, John S. & Logue, Dennis E. & Sweeney, Richard James, 1975. "Corporate International Diversification and Market Assigned Measures of Risk and Diversification," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(04), pages 627-637, November. [Downloadable!]
  7. Alexander, Gordon J. & Eun, Cheol S. & Janakiramanan, S., 1988. "International Listings and Stock Returns: Some Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(02), pages 135-151, June. [Downloadable!]
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  9. Fraser, P & Helliar, C V & Power, D M, 1994. "An Empirical Investigation of Convergence among European Equity Markets," Applied Financial Economics, Taylor and Francis Journals, vol. 4(2), pages 149-57, April. [Downloadable!] (restricted)
  10. Solnik, Bruno H, 1973. "Note on the Validity of the Random Walk for European Stock Prices," Journal of Finance, American Finance Association, vol. 28(5), pages 1151-59, December. [Downloadable!] (restricted)
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  13. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March. [Downloadable!] (restricted)
  14. Alan W. Clements, 1999. "The cost of capital- the practitioners view," European Journal of Finance, Taylor and Francis Journals, vol. 5(3), pages 247-255, September. [Downloadable!] (restricted)
  15. Josef Lakonishok & Robert W. Vishny & Andrei Shleifer, 1993. "Contrarian Investment, Extrapolation, and Risk," NBER Working Papers 4360, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  16. Adler, Michael & Dumas, Bernard, 1977. "The Microeconomics of the Firm in an Open Economy," American Economic Review, American Economic Association, vol. 67(1), pages 180-89, February. [Downloadable!] (restricted)
  17. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February. [Downloadable!] (restricted)
  18. Fama, Eugene F & French, Kenneth R, 1995. " Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 131-55, March. [Downloadable!] (restricted)
  19. Cumby, Robert E., 1990. "Consumption risk and international equity returns: some empirical evidence," Journal of International Money and Finance, Elsevier, vol. 9(2), pages 182-192, June. [Downloadable!] (restricted)
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