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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...
| Autores principales: | , , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier
2020
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| Materias: | |
| 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 |