Global factors and equity market valuations: Do country characteristics matter?

Jun Ma, Andrew Vivian and Mark Wohar ()

International Journal of Finance & Economics, 2018, vol. 23, issue 4, 427-441

Abstract: This paper examines the relationship between equity market valuations (dividend‐price ratio) using a dynamic factor model. The factor model decomposes each country's market valuation into a global, region‐specific, and country‐specific component. We find that the amount of variation explained by the factors is related to economic development indicators. Specifically, the valuations in the most developed (emerging) countries are primarily driven by the global (local) component of valuation ratios.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:23:y:2018:i:4:p:427-441

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