A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns /
We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by the e...
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| 格式: | 雜誌 |
| 語言: | English |
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Washington, D.C. :
International Monetary Fund,
2005.
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| 叢編: | IMF Working Papers; Working Paper ;
No. 2005/052 |
| 在線閱讀: | Full text available on IMF |