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Analysis of european stock returns: evidence of a new risk factor

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Author Info
Riccardo Cesari
Marzia Freo ()

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Abstract

Due to increasing importance of industry diversification we analyse the sector risk structure of European stock markets. The presence of a new factor correlated to the new economy statistically explains returns variability in recent years.

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File URL: http://amsacta.cib.unibo.it/archive/00002284/01/quaderni_ricerche_rc_analysiseuopean.pdf
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Paper provided by Department of Statistics, University of Bologna in its series Quaderni di Dipartimento with number 3.

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Date of creation: 2003
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Handle: RePEc:bot:quadip:71

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. R. D. Brooks & R. W. Faff & M. McKenzie, 2002. "Time varying country risk: an assessment of alternative modelling techniques," European Journal of Finance, Taylor and Francis Journals, vol. 8(3), pages 249-274, September. [Downloadable!] (restricted)
  2. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December. [Downloadable!] (restricted)
  3. 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)
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