Equity Returns and Integration: Is Europe Changing?
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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- 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.
- Ehling, Paul & Ramos, Sofia B., 2006.
"Geographic versus industry diversification: Constraints matter,"
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Elsevier, vol. 13(4-5), pages 396-416, October.
- 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.
- Ehling, Paul & Ramos, Sofia Brito, 2005. "Geographic versus industry diversification: constraints matter," Working Paper Series 0425, European Central Bank.
- Dušan Isakov & Frédéric Sonney, 2003.
"Are practitioners right? On the relative importance of industrial factors in international stock returns,"
FAME Research Paper Series
rp72, International Center for Financial Asset Management and Engineering.
- 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.
- Robin Brooks & Marco Del Negro, 2002. "International diversification strategies," FRB Atlanta Working Paper 2002-23, Federal Reserve Bank of Atlanta.
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