Abstract

http://ssrn.com/abstract=567126
 
 

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Euro-Zone Equity Returns: Country Versus Industry Effects


Esther Eiling


University of Toronto - Joseph L. Rotman School of Management

Bruno Gerard


Norwegian School of Management (BI) - Department of Financial Economics

Frans De Roon


Tilburg University - Department of Finance

October 2009

EFA 2004 Maastricht Meetings Paper No. 3454
AFA 2006 Boston Meetings Paper

Abstract:     
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.

Number of Pages in PDF File: 46

Keywords: International financial markets, style analysis, EMU, currency risk, financial market integration

JEL Classification: G11, G15

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Date posted: November 8, 2005 ; Last revised: January 7, 2010

Suggested Citation

Eiling, Esther and Gerard, Bruno and de Roon, Frans, Euro-Zone Equity Returns: Country Versus Industry Effects (October 2009). EFA 2004 Maastricht Meetings Paper No. 3454; AFA 2006 Boston Meetings Paper. Available at SSRN: http://ssrn.com/abstract=567126 or http://dx.doi.org/10.2139/ssrn.567126

Contact Information

Esther Eiling (Contact Author)
University of Toronto - Joseph L. Rotman School of Management ( email )
Toronto, Ontario M5S 3E6
Canada
+1-416-946-3121 (Phone)
+1-416-971-3048 (Fax)
Bruno Gerard
Norwegian School of Management BI - Department of Financial Economics ( email )
N-0442 Oslo
Norway
Frans A. De Roon
Tilburg University - Department of Finance ( email )
P.O. Box 90153
Tilburg, 5000 LE
Netherlands
+31 1 3466 8361/3025 (Phone)
+31 1 3466 2875 (Fax)
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