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European Equity Markets and EMU: Are the Differences Between Countries Slowly Disappearing?

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  • K. Rouwenhorst

Abstract

During the 1980s country effects have been larger than industry effects in the equity markets of Western Europe. This has continued to be the case for the EMU countries in the 1993-1998 period, despite the convergence of interest rates and the harmonization of fiscal and monet

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Bibliographic Info

Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm103.

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Date of creation: 01 Oct 1998
Date of revision: 01 Aug 2000
Handle: RePEc:ysm:somwrk:ysm103

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Web page: http://icf.som.yale.edu/
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  1. Beckers, Stan & Grinold, Richard & Rudd, Andrew & Stefek, Dan, 1992. "The relative importance of common factors across the European equity markets," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 75-95, February.
  2. Cooper, Ian & Kaplanis, Evi, 1994. "Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium," Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 45-60.
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Cited by:
  1. Dusan Isakov & Frédéric Sonney, 2004. "Are Practitioners Right? On the Relative Importance of Industrial Factors in International Stock Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 355-379, September.
  2. Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2004. "Do countries or industries explain momentum in Europe?," Open Access publications from Tilburg University urn:nbn:nl:ui:12-140720, Tilburg University.
  3. Kaltenhaeuser, Bernd, 2003. "Country and sector-specific spillover effects in the euro area, the United States and Japan," Working Paper Series 0286, European Central Bank.
  4. Catão, Luis A. V. & Timmermann, Allan G, 2004. "Country and Industry Dynamics in Stock Returns," CEPR Discussion Papers 4368, C.E.P.R. Discussion Papers.
  5. Arturo Bris & Yrjö Koskinen & Mattias Nilsson, 2009. "The Euro and Corporate Valuations," Review of Financial Studies, Society for Financial Studies, vol. 22(8), pages 3171-3209, August.
  6. Portes, Richard, 1999. "Global Financial Markets and Financial Stability: Europe's Role," CEPR Discussion Papers 2298, C.E.P.R. Discussion Papers.
  7. Julia Koralun-Bereźnicka, 2011. "Country and industry factors as determinants of corporate financial liquidity in the European Union countries," Bank i Kredyt, National Bank of Poland, Economic Institute, vol. 42(1), pages 19-48.
  8. Onay, Ceylan, 2006. "A Co-integration Analysis Approach to European Union Integration: The Case of Acceding and Candidate Countries," European Integration online Papers (EIoP), European Community Studies Association Austria (ECSA-A), vol. 10, 09.
  9. Robin Brooks & Marco Del Negro, 2002. "International diversification strategies," Working Paper 2002-23, Federal Reserve Bank of Atlanta.

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