- Autor
- Koralun-Bereźnicka Julia (Akademia Morska w Gdyni)
- Tytuł
- Kraj i sektor jako czynniki kształtujące rynkowe stopy zwrotu w świetle przeglądu badań
Country and Industry as Determinants of Stock Returns - Research Review - Źródło
- Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 2009, nr 48, s. 466-473, bibliogr. 33 poz.
- Tytuł własny numeru
- Zarządzanie finansami firm : teoria i praktyka
- Słowa kluczowe
- Analiza sektorowa, Efektywność inwestycji, Gospodarka narodowa, Stopa zwrotu
Sectorial analysis, Efficiency of investment, National economy, Rate of return - Uwagi
- summ.
- Abstrakt
- Za główny cel opracowania przyjęto przegląd przeprowadzonych dotychczas badań pod kątem oceny relatywnej ważności kraju i sektora jako czynników kształtujących rynkowe stopy zwrotu. Porównanie tych dwóch efektów jest istotne przede wszystkim z punktu widzenia efektywności dywersyfikacji inwestycji. (fragment tekstu)
The country and industry effects have been researched in many economic areas. One of the issues most often analysed is the impact of national and industrial factors on stock returns. It has been proved that both effects affect considerably their variability. An important question however is to determine which of the two effects prevails. Evaluating the relative importance of country and sector factors is crucial in terms of portfolio diversification. If these are mainly industrial factors that influence market returns, portfolio managers should apply cross-sector investment strategies. However, a traditional cross-country portfolio diversification would be more suitable if country factors dominated over the industrial ones. Numerous attempts to solve the problem have resulted in producing certain suggestions concerning both diversification methods, as well as the research methodology in the area of finance.(original abstract) - Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Biblioteka Główna Uniwersytetu Szczecińskiego - Pełny tekst
- Pokaż
- Bibliografia
- Adjaouté K., Danthine J.-P., European Financial Integration and Equity Returns: A Theory Based Assessment, [w:] V. Gaspar, P. Hartmann, O. Sleijpen (red.), The Transformation of the European Financial System, 2003.
- Baca S., Garbe B., Weiss R., The rise of sector effects in major equity markets, "Financial Analysts Journal" 2000 nr 56.
- Beckers S., Connor G., Curds R., National versus global influences on equity returns, "Financial Analysts Journal" 1996 nr 52.
- Beckers S., Grinold S., Rudd A., Stefek D., The relative importance of common factors across the European equity markets, "Journal of Banking and Finance" 1992 nr 16.
- Brooks R., Del Negro M., The rise in comovement across national stock markets: market integration or IT bubble?, "Journal of Empirical Finance" 2004 nr 11.
- Cavaglia S., Brightman C., Aked M., The increasing importance of industry factors, "Financial Analysts Journal" 2000 nr 56.
- Cavaglia S., Cho D., Singer B., Risks of sector rotation strategies, "The Journal of Portfolio Management" 2001 nr 27.
- De Moor L., Sercu P., Country and Sector Effects in International Stock Returns Revisited, SSRN Working Paper, 2005, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=676394.
- Dempsey S.J., Laber G., Rozeff M. S., Dividend policies in practice: is there an industry effect?, "Quaterly Journal of Business and Economics" 1993 nr 4.
- Drummen M., Zimmermann H., The structure of European stock returns, "Financial Analysts Journal" 1992 nr 48, s. 15-26.
- Ferson W.E., Harvey C.R., The risk and predictability of international equity returns, "Review of Financial Studies" 1993 nr 6.
- Flavin T.J., The effect of the euro on country versus industry portfolio diversification, "Journal of International Money and Finance" 2004 nr 23.
- Freimann E., Economic integration and country allocation in Europe, "Financial Analysts Journal" 1998 nr 54.
- Galati G., Tsatsaronis K., The impact of the euro on Europe's financial markets, "Financial Markets, Institutions and Instruments" 2003 nr 12.
- Griffin J.M., Karolyi G.A., Another look at the role of the industrial structure of markets for international diversification strategies, "Journal of Financial Economics" 1998 nr 50.
- Grinold R., Rudd A., Stefek D., Global factors: fact or fiction?, "Journal of Portfolio Management" 1989 nr 16.
- Grubel H, Internationally diversified portfolios: welfare gains and capital flows, "American Economic Review" 1968 nr 58.
- Heston S., Rouwenhorst G., Does industrial structure explain the benefits of international diversification, "Journal of Financial Economics" 1994 nr 36.
- Heston S., Rouwenhorst G., Industry and country effects in international stock returns, "Journal of Portfolio Management" 1995.
- King B.F., Market and industry factors in stock price behavior, "Journal of Business" 1966 nr 39.
- Kuo W., Satchell S.E., Global equity styles and industry effects: the pre-eminence of value relative to size, "Journal of International Financial Markets Institutions and Money" 2001 nr 11.
- L'Her J.F., Sy O., Tnani Y., Country, industry and risk factor loadings in portfolio management, "Journal of Portfolio Management" 2002 nr 28.
- Lessard D., World, national and industry factors in equity returns, "Journal of Finance" 1974 nr 24.
- Lessard D.R., World, country, and industry relationships in equity returns: implications for risk reduction through international diversification, "Financial Analysts Journal" 1976 nr 32.
- Levy H., Sarnat A., International diversification of investment portfolios, "American Economic Review" 1970 nr 25.
- Meyers S.L., A re-examination of market and industry factors in stock price behavior, "Journal of Finance" 1973 nr 28.
- Phylaktis K., Xia L., Sources of firms' industry and country effects in emerging markets, "Journal of International Money and Finance" 2006 nr 25.
- Roll R., Industrial structure and the comparative behavior of international stock market indices, "Journal of Finance" 1992 nr 47.
- Rouwenhorst K.G., European equity markets and EMU: are the differences between countries slowly disappearing?, "Financial Analysts Journal" 1999 nr 55.
- Serra P., Country and industry factors in returns: evidence from emerging markets' stocks, "Emerging Markets Review" 2000 nr 1.
- Solnik B., The international pricing of risk: an empirical investigation of the world capital market structure, "Journal of Finance" 1974 nr 29.
- Sonney F., Country versus Sector Influences And Financial Analysts' Specialization, shttp://www2. unine.ch/webdav/site/iaf/shared/documents/TheseFredericSonney.pdf, 2007.
- Weiss R.A., Global sector rotation: new look at an old idea, "Financial Analysts Journal" 1998 nr 54.
- Cytowane przez
- ISSN
- 1899-3192
- Język
- pol