Publication:
Can fundamentals explain cross-country correlations of asset returns?

dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorRodríguez López, Rosa
dc.contributor.authorRestoy, Fernando
dc.date.accessioned2010-04-15T11:09:08Z
dc.date.available2010-04-15T11:09:08Z
dc.date.issued2006-10
dc.description.abstractPrevious studies show that existing correlations between national returns are higher than correlations between the national growth rates of fundamental variables. This paper examines the ability of intertemporal asset pricing models to explain cross-country correlations of national returns. We find that when capital markets are assumed to be fully integrated, a simple intertemporal general equilibrium model is able to explain the observed co-variability of domestic asset returns but generates too little variability in those returns. Results improve considerably if a less restrictive version is employed. In that setting, both domestic variability and cross-country co-variability of returns are consistent with capital market integration.
dc.description.statusPublicado
dc.format.mimetypetext/plain
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationReview of World Economics, octubre 2006, Vol. 142, No 3, p. 585-598
dc.identifier.doi10.1007/s10290-006-0082-8
dc.identifier.issn1610-2878 (Print)
dc.identifier.issn1610-2886 (Online)
dc.identifier.publicationfirstpage585
dc.identifier.publicationissue3
dc.identifier.publicationtitleReview of World Economics
dc.identifier.publicationvolume142
dc.identifier.urihttps://hdl.handle.net/10016/7618
dc.language.isoeng
dc.publisherSpringer
dc.relation.publisherversionhttp://dx.doi.org/10.1007/s10290-006-0082-8
dc.rights©Springer
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.subject.otherAsset pricing models
dc.subject.otherCross-country correlations
dc.titleCan fundamentals explain cross-country correlations of asset returns?
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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