Three Essays on Empirical Asset Pricing in International Equity Markets
- ISBN-10
- 365835478X
- ISBN-13
- 9783658354787
- Category
- Business & Economics
- Pages
- 147
- Language
- German
- Published
- 2021-08-20
- Publisher
- Springer Gabler
- Author
- Birgit Charlotte Müller
Description
In this Open-Access-book three essays on empirical asset pricing in international equity markets are presented. Despite being of fundamental economic and scientific importance, international financial markets have remained considerably underresearched until today. In the first essay, the role of firm-specific characteristics is analyzed for the momentum effect to exist in international equity markets. The second essay investigates the validity, persistence, and robustness of the newly discovered capital share growth factor across international equity markets as proposed by Lettau et al. (2019) for the U.S. market. Lastly, the third and final essay studies stock market reactions of European vendor banks to distressed loan sale announcements.
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