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Global factors and equity market valuations: Do country characteristics matter?

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  • Jun Ma
  • Andrew Vivian
  • Mark E. Wohar

Abstract

This paper examines the relationship between equity market valuations (dividend‐price ratio) using a dynamic factor model. The factor model decomposes each country's market valuation into a global, region‐specific, and country‐specific component. We find that the amount of variation explained by the factors is related to economic development indicators. Specifically, the valuations in the most developed (emerging) countries are primarily driven by the global (local) component of valuation ratios.

Suggested Citation

  • Jun Ma & Andrew Vivian & Mark E. Wohar, 2018. "Global factors and equity market valuations: Do country characteristics matter?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 23(4), pages 427-441, October.
    • Handle: RePEc:wly:ijfiec:v:23:y:2018:i:4:p:427-441
    DOI: 10.1002/ijfe.1630
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    Cited by:

    1. Beverly, Joshua P. & Neill, Clinton L. & Stewart, Shamar, 2022. "The Dynamics of Labor Force Participation: All Quiet on the Appalachian Front?," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322258, Agricultural and Applied Economics Association.

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