Equity Returns and Integration: Is Europe Changing?

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Serval ID
serval:BIB_377CF06FFB95
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Equity Returns and Integration: Is Europe Changing?
Journal
Oxford Review of Economic Policy
Author(s)
Adjaoute K.
ISSN
1460-2121
Publication state
Published
Issued date
2004
Peer-reviewed
Oui
Volume
20
Number
4
Pages
555-570
Language
english
Abstract
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 synchronization of macroeconomic activities, and a non-negligible evolution in pricing, with a decrease in the cost of capital and converging equity premiums. 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 benefits to be gained from finding diversification opportunities at a more disaggregated level appear to be higher than ever.
Web of science
Open Access
Yes
Create date
16/07/2018 14:45
Last modification date
01/10/2019 6:17
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