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    题名: Global Equity Styles and Industry Effects: the Pre-eminence of Value Relative to Size
    作者: 郭維裕
    Kuo, Weiyu;Satchell, Stephen E.
    关键词: Equity styles;Market integration and segmentation;Factor model
    日期: 2001
    上传时间: 2008-12-03 13:53:27 (UTC+8)
    摘要: We extend the model of Heston and Rouwenhorst, (1994) [J. Fianc. Econom. 36, 3–27] to investigate the effects of size, value, industry, and country factors on the volatility of stock returns in international stock markets. In common with previous authors, we find that country factors dominate the other factors in explaining the return variation. The second most important factors are industry factors followed by value and size factors. Furthermore, after removing possible influences from country and industry factors, we find that there still is a global value effect but not a global size effect. Our data set finishes in 1995 — thus, if there are global super-stocks, they do not appear to have been historically important.
    關聯: Journal of International Financial Markets Institutions and Money, 11, 1-28
    資料來源: http://dx.doi.org/10.1016/S1042-4431(00)00033-0
    数据类型: article
    显示于类别:[國際經營與貿易學系 ] 期刊論文

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