메뉴 건너뛰기




Volumn 11, Issue 1, 2001, Pages 1-28

Global equity styles and industry effects: The pre-eminence of value relative to size

Author keywords

C51; Equity styles; Factor model; G11; G15; Market integration and segmentation

Indexed keywords


EID: 0011372690     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-4431(00)00033-0     Document Type: Article
Times cited : (9)

References (24)
  • 1
    • 0010597109 scopus 로고    scopus 로고
    • Measuring international economic linkages with stock market data
    • Ammer J., Mei J. Measuring international economic linkages with stock market data. J. Finance. 51:1996;1743-1763.
    • (1996) J. Finance , vol.51 , pp. 1743-1763
    • Ammer, J.1    Mei, J.2
  • 2
    • 38249015658 scopus 로고
    • The relative importance of common factors across the European equity markets
    • Beckers S., Grinold R., Rudd A., Stefek D. The relative importance of common factors across the European equity markets. J. Bank. Finance. 16:1992;75-95.
    • (1992) J. Bank. Finance , vol.16 , pp. 75-95
    • Beckers, S.1    Grinold, R.2    Rudd, A.3    Stefek, D.4
  • 5
    • 84977709173 scopus 로고
    • Predictable stock returns in the US and Japan: A study of long-term capital market integration
    • Campbell J.Y., Hamao Y. Predictable stock returns in the US and Japan: A study of long-term capital market integration. J. Finance. 47:1992;43-69.
    • (1992) J. Finance , vol.47 , pp. 43-69
    • Campbell, J.Y.1    Hamao, Y.2
  • 6
    • 0002099720 scopus 로고
    • International value and growth stock returns
    • Capaul C., Rowley I., Sharpe W.F. International value and growth stock returns. Financ. Anal. J. 49:1993;27-36.
    • (1993) Financ. Anal. J. , vol.49 , pp. 27-36
    • Capaul, C.1    Rowley, I.2    Sharpe, W.F.3
  • 7
    • 84993900539 scopus 로고
    • A test for the number of factors in an approximate factor model
    • Connor G., Korajczyk R.A. A test for the number of factors in an approximate factor model. J. Finance. 48:1993;1263-1293.
    • (1993) J. Finance , vol.48 , pp. 1263-1293
    • Connor, G.1    Korajczyk, R.A.2
  • 8
    • 0002083196 scopus 로고
    • The structure of European stock returns
    • Drummen M., Zimmermann H. The structure of European stock returns. Financ. Anal. J. 48:1992;15-26.
    • (1992) Financ. Anal. J. , vol.48 , pp. 15-26
    • Drummen, M.1    Zimmermann, H.2
  • 9
    • 0031066567 scopus 로고    scopus 로고
    • Industry costs of equity
    • Fama E., French K. Industry costs of equity. J. Financ. Econom. 43:1997;153-193.
    • (1997) J. Financ. Econom. , vol.43 , pp. 153-193
    • Fama, E.1    French, K.2
  • 10
    • 11544342489 scopus 로고    scopus 로고
    • Value versus growth: The international evidence
    • Fama E., French K. Value versus growth: the international evidence. J. Finance. 53:1998;1975-1999.
    • (1998) J. Finance , vol.53 , pp. 1975-1999
    • Fama, E.1    French, K.2
  • 11
    • 0010785505 scopus 로고
    • An exploratory investigation of the fundamental determinations of national equity market returns
    • J. Frankel. Chicago, IL: University of Chicago Press
    • Ferson W., Harvey C.R. An exploratory investigation of the fundamental determinations of national equity market returns. Frankel J. The Internationalisation of Equity Markets. 1994;59-138 University of Chicago Press, Chicago, IL.
    • (1994) The Internationalisation of Equity Markets , pp. 59-138
    • Ferson, W.1    Harvey, C.R.2
  • 13
    • 84977703701 scopus 로고
    • Capital controls and international capital market segmentation: The evidence from the Japanese and American stock markets
    • Gultekin M.N., Gultekin N.B., Penati A. Capital controls and international capital market segmentation: the evidence from the Japanese and American stock markets. J. Finance. 44:1989;849-869.
    • (1989) J. Finance , vol.44 , pp. 849-869
    • Gultekin, M.N.1    Gultekin, N.B.2    Penati, A.3
  • 14
    • 77957029777 scopus 로고
    • On the predictability of common stock returns: World-wide evidence
    • R.A. Jarrow, V. Maksimovic, Ziemba W.T. Amsterdam: Elsevier
    • Hawawini G., Keim D.B. On the predictability of common stock returns: world-wide evidence. Jarrow R.A., Maksimovic V., Ziemba W.T. Handbooks in OR&MS. 9:1995;497-544 Elsevier, Amsterdam.
    • (1995) Handbooks in OR&MS , vol.9 , pp. 497-544
    • Hawawini, G.1    Keim, D.B.2
  • 15
    • 0002268752 scopus 로고
    • Does industrial structure explain the benefits of international diversification?
    • Heston S.L., Rouwenhorst K.G. Does industrial structure explain the benefits of international diversification? J. Financ. Econom. 36:1994;3-27.
    • (1994) J. Financ. Econom. , vol.36 , pp. 3-27
    • Heston, S.L.1    Rouwenhorst, K.G.2
  • 16
    • 0001183575 scopus 로고
    • The Structure of international stock returns and the integration of capital markets
    • Heston S.L., Rouwenhorst K.G., Wessels R.E. The Structure of international stock returns and the integration of capital markets. J. Emp. Finance. 2:1995;173-197.
    • (1995) J. Emp. Finance , vol.2 , pp. 173-197
    • Heston, S.L.1    Rouwenhorst, K.G.2    Wessels, R.E.3
  • 17
    • 0000036635 scopus 로고
    • Interpreting dummy variables
    • Kennedy P. Interpreting dummy variables. Rev. Econom. Stat. 68:1986;174-175.
    • (1986) Rev. Econom. Stat. , vol.68 , pp. 174-175
    • Kennedy, P.1
  • 18
    • 0002644611 scopus 로고
    • World, country and industry relationships in equity returns: Implications for risk reduction through international diversification
    • Lessard D.R. World, country and industry relationships in equity returns: Implications for risk reduction through international diversification. Financ. Anal. J. 32:1976;32-38.
    • (1976) Financ. Anal. J. , vol.32 , pp. 32-38
    • Lessard, D.R.1
  • 20
  • 21
    • 0002716956 scopus 로고
    • Asset allocation: Management style and performance measurement
    • Sharpe, W., 1992, Asset allocation: Management style and performance measurement, J. Port. Manag., 7-19.
    • (1992) J. Port. Manag. , pp. 7-19
    • Sharpe, W.1
  • 22
    • 0001666748 scopus 로고
    • Dummy variable: Mechanics vs. interpretation
    • Suits D.B. Dummy variable: Mechanics vs. interpretation. Rev. Econom. Stat. 66:1984;177-180.
    • (1984) Rev. Econom. Stat. , vol.66 , pp. 177-180
    • Suits, D.B.1
  • 23
    • 45549120815 scopus 로고
    • Some tests of international equity integration
    • Wheatley S. Some tests of international equity integration. J. Financ. Econom. 21:1988;177-212.
    • (1988) J. Financ. Econom. , vol.21 , pp. 177-212
    • Wheatley, S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.