1. Euro-Zone Equity Returns: Country Versus Industry Effects
- Author
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Bruno Gerard, Esther Eiling, Frans de Roon, Research Group: Finance, and Department of Finance
- Subjects
EMU ,Economics and Econometrics ,Financial economics ,international financial markets ,Financial market ,Equity (finance) ,style analysis ,International economics ,Monetary economics ,Style analysis ,Accounting ,currency risk ,financial market ,Economics ,Aggregate level ,Foreign exchange risk ,Finance - Abstract
This is the authors’ accepted and refereed manuscript to the article also published at www.ssrn.com This paper investigates whether Euro-zone equity returns are driven by country or industry effects over the 1990 to 2008 period. Using a style analysis approach, we find that before the introduction of the Euro country effects dominate, while industry effects prevail after 1999. This reversal at the aggregate level is driven mainly by countries that were least integrated in the EMU and world markets prior to the Euro launch. For markets with stronger economic linkages, such as Germany and France, industry effects dominate both in the nine years before and in the nine years after the introduction of the Euro.
- Published
- 2009