Journal of Banking & Finance Vol. 122 2021
Country governance and international equity returns
Abstract
Monthly returns in countries with strong governance lead monthly returns in weak governance countries. This predictability holds in and out-of-sample at both the group and individual country levels. Moreover, the predictability is not fully explained by other related possible sources of cross-country predictability such as differences in country development, political risk, size, liquidity, short-selling constraints, the predictive ability of U.S. equity returns, or non-synchronous trading. It appears that equity returns in different countries react to value-relevant world information at different speeds based on their levels of country governance.
- DOI
- 10.1016/j.jbankfin.2020.105986
- Volume
- 122
- Pages
- 105986
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib