Analysis of european stock returns: evidence of a new risk factor

Riccardo Cesari () and Marzia Freo ()

No 3, Quaderni di Dipartimento from Department of Statistics, University of Bologna

Abstract: Due to increasing importance of industry diversification we analyse the sector risk structure of European stock markets. The presence of a new factor correlated to the new economy statistically explains returns variability in recent years.

Date: 2003
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