The Cross-Sectional Variability of Stock-Price Returns
Author | : Michael E. Steliaros |
Publisher | : |
Total Pages | : 32 |
Release | : 2009 |
ISBN-10 | : OCLC:1290291006 |
ISBN-13 | : |
Rating | : 4/5 (06 Downloads) |
Download or read book The Cross-Sectional Variability of Stock-Price Returns written by Michael E. Steliaros and published by . This book was released on 2009 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the impact of country and sector as variables in explaining the cross-sectional variability of price returns for a sample of over 1900 companies comprising the MSCI Developed World Index, drawn from 21 countries, over the period 1992-2001. For the value-weighted world portfolio, the country effect dominates although the sector effect increases markedly, and the country effect decreases, in the post-2000 period. The country effect is, however, much stronger when the largest 300 companies are excluded from the analysis. The same pattern is observed for the portfolio comprising companies from the EMU countries. For equally-weighted portfolios, the apparent dominance of the sector effect is largely attributable to the inclusion of the TMT sector. The negative trend in market-wide indices and the volatility experienced at the end of the sample period also account for the assertion that the sector effect has overtaken the country effect in the post-2000 period.