EconPapers    
Economics at your fingertips  
 

Is average correlation related to expected returns: evidence from global markets

Stanley Peterburgsky and Seungho Baek

Applied Economics Letters, 2021, vol. 28, issue 9, 731-736

Abstract: We examine whether average country-level stock market correlation is related to global equity returns. Previous research focusing on the U.S. suggests that average firm-level correlation captures some of the risk not accounted for by other variables and is positively related to returns on the broad stock market. In contrast, we find that average country-level correlation does not appear to be related to global returns, and that the Roll (1977) critique may not be responsible for this lack of relation. Additionally, average correlation does not help forecast returns out-of-sample.

Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2020.1773388 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:28:y:2021:i:9:p:731-736

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2020.1773388

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2025-03-20
Handle: RePEc:taf:apeclt:v:28:y:2021:i:9:p:731-736