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

Topics:
Investment and Capital Markets
Tags:
Business Operations,
Stock,
Management,
Investment,
Industry,
Governor,
Finance,
Federal Reserve Board,
Corporate Law,
Corporate Governance,
...
Source:
Board of Governors of the Federal Reserve System

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Overview: This paper examines the relative importance of global, country-specific, and industry specific factors in both the cash flow and discount rate components of equity returns between 1995 and 2003. The framework draws upon previously separate literatures on country versus industry effects and (forward- looking) cash flow versus discount rate components of equity return innovations. The study applies the Campbell (1991) decomposition for industry-by-country, all country, global industry, and world market index returns & can produce a richer characterization of same-industry and same country effects in stock returns.

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Format: PDF | Size: 206KB | Date: Sep 2004 | Pages: 43

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