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Länder- versus Brancheneinfluss auf Aktienrenditen: 1973 bis 2002
Gerke, Wolfgang | Mager, Ferdinand | Rohde, Mark
Credit and Capital Markets – Kredit und Kapital, Vol. 37 (2004), Iss. 2 : pp. 153–168
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Wolfgang Gerke, Nürnberg
Ferdinand Mager, Nürnberg
Mark Rohde, Nürnberg
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Abstract
Country versus Branch Influence on the Yield of Shares: 1973 to 2002
Country factors have for a long time dominated industry effects in explaining stock returns. More recent analyses, however, have identified a rising global industry effect that comes close to the country effect towards the end of the 1990ies. The present study increases the time period covered to 30 years and examines the question in what way the relationship between branch and country effects has developed from the March 2000 drop in share prices. The results show a clear decline in the importance of industry factors. The preceding increase should therefore not be interpreted any longer as an expression of economic and market globalisation