01687cas a2200253 a 4500 AALejournalIMF002335 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451847642 1018-5941 BD-DhAAL BD-DhAAL Brooks, Robin. Firm-Level Evidenceon International Stock Market Comovement / Robin Brooks, Marco Del Negro. Washington, D.C. : International Monetary Fund, 2003. 1 online resource (31 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific shocks. We find a large and highly significant link: on average, a firm raising its international sales by 10 percent raises the exposure of its stock return to global shocks by 2 percent and reduces its exposure to country-specific shocks by 1.5 percent. This link has grown stronger since the mid-1980s. Mode of access: Internet Del Negro, Marco. IMF Working Papers; Working Paper ; No. 2003/055 Full text available on IMF http://elibrary.imf.org/view/journals/001/2003/055/001.2003.issue-055-en.xml IMF e-Library