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Cash Flows and Discount Rates, Industry and Country Effects and Co-Movement in Stock Returns

  • John Ammer
  • Jon Wongswan

We apply the Campbell decomposition to industry-by-country, national, global industry, and world stock index returns using 1995-2003 data. World, global industry, and country factors are all important for each of the two key components of stock returns: news about future dividends and news about future discount rates. Furthermore, the world component of future discount rates is more important than the idiosyncratic component, while the reverse is true for news about future dividends. Our results are broadly consistent with co-movement in future discount rates arising from perceptions of common elements of risk in international equity markets. Copyright 2007, The Eastern Finance Association.

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Article provided by Eastern Finance Association in its journal Financial Review.

Volume (Year): 42 (2007)
Issue (Month): 2 (05)
Pages: 211-226

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Handle: RePEc:bla:finrev:v:42:y:2007:i:2:p:211-226
Contact details of provider: Web page: http://www.easternfinance.org/

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  1. John M. Griffin & G. Andrew Karolyi, . "Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies," Research in Financial Economics 9608, Ohio State University.
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