Euro-zone equity returns: country versus industry effects
Journal article, Peer reviewed

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http://hdl.handle.net/11250/93838Issue date
2012Metadata
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Original version
http://dx.doi.org/10.1093/rof/rfq034Abstract
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.
Description
This is the authors’ accepted and refereed manuscript to the article also published at www.ssrn.com