search query: @author Heston, S. / total: 2
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| Author: | Heston, S. Rouwenhorst, K. Wessels, R. |
| Title: | The structure of international stock returns and the integration of capital markets |
| Journal: | Journal of Empirical Finance
1995 : SEP, VOL. 2:3, p. 173-198 |
| Index terms: | INTERNATIONAL STOCK RETURNS CAPITAL MARKETS |
| Language: | eng |
| Abstract: | This paper investigates the structure of international stock returns in Europe and the U.S., and examines whether international capital markets are integrated. Using data on 6000 firms in the U.S. and 12 European countries from 1978 to 1990, the authors find evidence that countries share multiple risk factors. They test whether capital markets in our sample are integrated by examining the pricing of country indices and comparing the prices of factor risk across countries. |
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