【摘 要】
：
This paper examines the relationship of local country financial markets to risk factors which are global in their impact.Although international economies are closely linked,the reaction to changing co
【机 构】
：
Department of Economics and School of Business Administration Dalhousie University Halifax,Nova Scot
【出 处】
：
《中国工商管理研究前沿》编辑部,中国人民大学商学院
论文部分内容阅读
This paper examines the relationship of local country financial markets to risk factors which are global in their impact.Although international economies are closely linked,the reaction to changing conditions could differ across international markets.Furthermore the reaction could depend on the state of the global market,be it bear or bull.To answer these questions,a linear factor model is proposed with six global risk factors.The linear model depends on the state which is represented by economic regimes and the market switches between regimes according to a stationary Markov chain.Within this structure the Exchange Traded Funds (ETFs) for the U.S.,Canada,U.K.,Germany,France,Italy,Japan,and Australia from May 30,2000 to March 31,2011 are analyzed.The data support a 4 regime model.The empirical results show that both the returns of country ETFs and their sensitivities to the risk factors are highly regime and country dependent.
其他文献
长期以来,会计实务界的会计信息失真是会计信息质量最大威胁,今后相当长时间内遏制虚假和不实会计信息的任务仍然十分艰巨.由于在实务界会计人员及其组织的认识能力局限和理解上偏差,造成对可靠性的偏读和实质重于形式的误读,这是不易引起重视但的的确确值得重视的会计信息失真的重要形成因素.不合理信念的原因是多方面的，其背后的会计人员自身认识问题局限，以及会计准则对会计信息质量的呈现和保障不足值得重视。笔者认为，
In this study,we document that sophisticated institutional investors react to the reported earnings,especially earnings surprises,of only those firms that use accounting conservatism,whereas individua
It is important to understand the strategies that allow a Chinese firm to successfully maneuver in Chinas transmitting economic environment,for Chinese firms,international firms entering and competing
Strategic change in firms has several different motivations.This study examines the preserving of socioemotional wealth as a motive for strategic change in private family firms by looking at the relat
Purpose:This study explores the influence of consumers? Perceived brand globalness (PBG) on their brand attitudes in an emerging market that has experienced rapid growth and transition.We also examine
This case described the development process of Fu Yuan Guan,a Chinese time-honored brand as well as the challenges it had met during this process.Through privatization,Fu Yuan Guan survived and captur
In November,1992,the Ministry of Finance issued the first accounting standards for business enterprises,the guidelines first look on conservatism as one of accounting principles.In February,2006,the M
Based on the social cognitive model of migration,this paper discusses the migrating effects of the LMX between the employee and the previous leader.The result shows that the LMX between employee and t
Based on analyzing the contextual factors and theoretical bases,we explored different effects of servant leadership and servant leadership on employeesjob engagement.We hypothesized opposite moderatin
This article discusses the decisive influences of environmental uncertainty and CEO characteristics on dynamic capabilities highlighted by Barreto (2010),based on strategic leadership literatures and