Equity Returns and Integration: Is Europe Changing?

Kpate Adjaoute and Jean-Pierre Danthine
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Kpate Adjaoute: HSBC Private Bank (Suisse) SA and FAME

FAME Research Paper Series from International Center for Financial Asset Management and Engineering

Abstract: This paper analyses the consequences of the process of financial and economic integration on European equity markets. It documents significant changes in fundamentals, notably an increased synchronisation of macroeconomic activities, and a non-negligible evolution in pricing, with a decrease in the cost of capital and converging equity premia. As to equity returns themselves, in the face of what could turn out to be long run upward trends in the correlations among both country and sector returns and a narrowing of the superiority of country factors, the stakes of searching for diversification opportunities at a higher level of disaggregation appear to be higher than ever.

Keywords: European integration; Equity markets; Diversification (search for similar items in EconPapers)
JEL-codes: F36 G10 G15 (search for similar items in EconPapers)
Date: 2004-10
New Economics Papers: this item is included in nep-cfn and nep-eec
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Citations: View citations in EconPapers (38)

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Persistent link: https://EconPapers.repec.org/RePEc:fam:rpseri:rp117

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