TY  - JOUR
AU  - Bekaert,Geert
AU  - Hodrick,Robert J.
AU  - Zhang,Xiaoyan
TI  - International Stock Return Comovements
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11906
PY  - 2005
Y2  - December 2005
UR  - http://www.nber.org/papers/w11906
L1  - http://www.nber.org/papers/w11906.pdf
N1  - Author contact info:
Geert Bekaert
Graduate School of Business
Columbia University
3022 Broadway, 411 Uris Hall
New York, NY 10027
Tel: 212/854-9156
Fax: 212/662-8474
E-Mail: gb241@columbia.edu

Robert J. Hodrick
Graduate School of Business
Columbia University
3022 Broadway
New York, NY 10027
Tel: 212/854-3413
Fax: 212/316-9219
E-Mail: rh169@columbia.edu

Xiaoyan Zhang
Johnson Graduate School of Management
366 Sage Hall
Cornell University
Ithaca, NY 14853
Tel: 607/255-8729
E-Mail: xz69@cornell.edu
AB  - We examine international stock return comovements using country-industry and country-style portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, we do not find evidence for an upward trend in return correlations, excpet for the European stock markets. Second, the increasing imporatnce of industry factors relative to country factors was a short-lived, temporary phenomenon. Third, we find no evidence for a trend in idiosyncratic risk in any of the countries we examine.
ER  -