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Equity Returns and Integration: Is Europe Changing?

  • Kpate ADJAOUTE

    (HSBC Private Bank (Suisse) SA and FAME)

  • Jean-Pierre DANTHINE

    (HEC-University of Lausanne, CEPR and FAME)

This paper analyses the consequences of the process of financial and economic integration on European equity markets. It documents significant changes in fundamentals, notably an increased synchronisation of macroeconomic activities, and a non-negligible evolution in pricing, with a decrease in the cost of capital and converging equity premia. As to equity returns themselves, in the face of what could turn out to be long run upward trends in the correlations among both country and sector returns and a narrowing of the superiority of country factors, the stakes of searching for diversification opportunities at a higher level of disaggregation appear to be higher than ever.

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Paper provided by International Center for Financial Asset Management and Engineering in its series FAME Research Paper Series with number rp117.

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Date of creation: Oct 2004
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Handle: RePEc:fam:rpseri:rp117
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Web page: http://www.swissfinanceinstitute.ch

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  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. Robin Brooks & Marco Del Negro, 2002. "International diversification strategies," Working Paper 2002-23, Federal Reserve Bank of Atlanta.
  3. Paul EHLING & Sofia B. RAMOS, 2004. "Geographic Versus Industry Diversification: Contraints Matter," FAME Research Paper Series rp113, International Center for Financial Asset Management and Engineering.
  4. Ormerod, Paul & Mounfield, Craig, 2002. "The convergence of European business cycles 1978–2000," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 307(3), pages 494-504.
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