A common risk factor in global credit and equity markets: An exploratory analysis of the subprime and the sovereign-debt crises

This paper investigates the existence of a common risk factor across asset classes and geographical areas, focusing on the crises and post-crisis periods. This factor has important implications for diversification in investor's portfolios. We assess a worldwide sample of assets: Equity, Corpora...

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Detalles Bibliográficos
Autores principales: Corzo, Teresa, Lazcano, Laura, Márquez, Javier, Gismera, Laura, Lumbreras, Sara
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7270545/
https://www.ncbi.nlm.nih.gov/pubmed/32518849
http://dx.doi.org/10.1016/j.heliyon.2020.e03980

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7270545/
https://www.ncbi.nlm.nih.gov/pubmed/32518849
http://dx.doi.org/10.1016/j.heliyon.2020.e03980

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