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

This paper examines the relationship between equity market valuations (dividendprice 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 f...

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Bibliographic Details

Main Authors:	Jun Ma, Andrew Vivian, Mark Wohar
Format:	Default Article
Published:	2018
Subjects:	Other commerce, management, tourism and services not elsewhere classified Dynamic factor model Equity market valuation Country characteristics Emerging markets Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/33889
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