Wpływ czynników krajowych i sektorowych na rynkowe stopy zwrotu : przegląd badań

• Autorzy: Julia Koralun-Bereźnicka

Warianty tytułu

Country and Industry Factors as Determinants of Stock Returns : a Research Review

• Języki publikacji: PL

Abstrakty

Oddziaływanie efektów sektorowych i krajowych podlegało wielu badaniom w różnych obszarach gospodarczych. Jednym z najczęściej analizowanych problemów jest wpływ czynników krajowych i sektorowych na zachowanie rynkowych stóp zwrotu. Wielokrotnie wykazano, że oba efekty stanowią ważne czynniki kształtujące ich zmienność. Głównym motywem wielu badań jest określenie, który z efektów ma znaczenie dominujące. Ocena ta jest kluczowa z punktu widzenia zwiększania skuteczności metod dywersyfikacji inwestycji. Przewaga efektów sektorowych potwierdzałaby słuszność strategii inwestycyjnych opartych na przekrojach sektorowych. Tradycyjna strategia różnicowania portfela według krajów byłaby natomiast bardziej uzasadniona w przypadku, gdy efekty kraju przeważałyby nad efektami sektorowymi. Wielokrotne próby rozstrzygnięcia problemu efektów kraju i sektora doprowadziły do sformułowania pewnych sugestii dotyczących metod dywersyfikacji portfeli inwestycyjnych oraz sposobów prowadzenia badań w dziedzinie finansów. (abstrakt oryginalny)

EN

The country and industry effects have been researched in many economic areas. One of the issues most often analyzed is the impact of national and industrial factors on stock returns. It has been proved that both effects affect considerably their variability. An important question however is to determine which of the two effects prevails. Evaluating the relative importance of country and sector factors is crucial in terms of portfolio diversification. If these are mainly industrial factors that influence market returns, portfolio managers should apply cross-sector investment strategies. However, a traditional cross-country portfolio diversification would be more suitable if country factors dominated over the industrial ones. Numerous attempts to solve the problem have resulted in producing certain suggestions concerning both diversification methods, as well as the research methodology in the area of finance. (original abstract)

Słowa kluczowe

PL

Stopa zwrotu; Zachowania rynkowe; Dywersyfikacja portfela; Portfel inwestycyjny; Efekt sektorowy

EN

Rate of return; Market behaviour; Portfolio diversification; Investment portfolio; Industry effect

• Czasopismo: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
• Rocznik: 2010
• Numer: nr 99 Finanse publiczne i międzynarodowe
• Strony: 189-196

Twórcy

autor

Julia Koralun-Bereźnicka

• Uniwersytet Gdański

Bibliografia

• Baca S., Garbe B., Weiss R., The rise of sector effects in major equity markets, "Financial Analysts Journal" 2000, no 56.
• Beckers S., Connor G., Curds R., National versus global influences on equity returns, "Financial Analysts Journal" 1996, no 52.
• Beckers S., Grinold S., Rudd A., Stefek D., The relative importance of common factors across the European equity markets, "Journal of Banking and Finance" 1992, no 16.
• Brooks R., Del Negro M, The rise in comovement across national stock markets: market integration or IT bubble?, "Journal of Empirical Finance" 2004, no 11.
• Cavaglia S., Brightman C., Aked M., The increasing importance of industry factors, "Financial Analysts Journal" 2000, no 56.
• Cavaglia S., Cho D., Singer В., Risb of sector rotation strategies, "The Journal of Portfolio Management" 2001, no 27.
• Dempsey S.J., Laber G., Rozeff M.S., Dividend policies in practice: Is there an industry effect?, "Quaterly Journal of Business and Economics" 1993, no 4.
• Drummen M., Zimmermann H., The structure of European stock returns, "Financial Analysts Journal" 1992, no 48, s. 15-26.
• Person W.E., Harvey C.R., The Risk and predictability of international equity returns, "Review of Financial Studies" 1993, no 6.
• Flavin T.J., The effect of the euro on country versus industry portfolio diversification, "Journal of International Money and Finance" 2004, no 23.
• Freimann E., Economic integration and country allocation in Europe, "Financial Analysts Journal" 1998, no 54.
• Galati G., Tsatsaronis K., The impact of the Euro on Europe's financial markets, "Financial Markets, Institutions and Instruments" 2003, no 12.
• Griffin J.M., Karolyi G.A., Another look at the role of the industrial structure of markets for international diversification strategies, "Journal of Financial Economics" 1998, no 50.
• Grinold R., Rudd A., Stefek D., Global factors: fact or fiction?, "Journal of Portfolio Management" 1989, no 16.
• Gmbel H., Internationally diversified portfolios: welfare gains and capital flows, "American Economic Review" 1968, no 58.
• Heston S., Rouwenhorst G., Does industrial structure explain the benefits of international diversification, "Journal of Financial Economics" 1994, no 36.
• King B.F., Market and industry factors in stock price behavior, "Journal of Business" 1966, no 39.
• Kuo W., Satchell S.E., Global equity styles and industry effects: the pre-eminence of value relative to size, "Journal of International Financial Markets, Institutions and Money" 2001, no 11.
• L'Her J.F., Sy O., Tnani Y., Country, industry and risk factor loadings in portfolio management, "Journal of Portfolio Management" 2002, no 28.
• Lessard D., World, country, and industry relationships in equity returns: Implications for risk reduction through international diversification, "Financial Analysts Journal" 1976, no 32.
• Lessard D., World, national and industry factors in equity returns, "Journal of Finance" 1974, no 24.
• Levy H., Sarnat A., International diversification of investment portfolios, "American Economic Review" 1970, no 25.
• Meyers S.L., A re-examination of market and industry factors in stock price behavior, "Journal of Finance" 1973, no 28.
• Phylaktis K., Xia L., Sources affirms' industry and country effects in emerging markets, "Journal of International Money and Finance" 2006, no 25.
• Roll R., Industrial structure and the comparative behavior of international stock market indices, "Journal of Finance" 1992, no 47.
• Serra P., Country and industry factors in returns: evidence from emerging markets 'stocks, "Emerging Markets Review" 2000, no 1.
• Solnik В., The international pricing of risk: an empirical investigation of the world capital market structure, "Journal of Finance" 1974, no 29,
• Sonney F., Country versus Sector Influences And Financial Analysts' Specialization, shttp://www2. unine.ch/webdav/site/iaf/shared/documents/TheseFredericSonney.pdf, 2007.
• Weiss R.A., Global Sector Rotation: New Look at an Old Idea, "Financial Analysts Journal" 1998, no 54.