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Empirical Studies on Asset Pricing and Banking in the Euro Area

出版	ERIM, 2005
ISBN	90589209099789058920904
URL	http://books.google.com.hk/books?id=hS2cygAACAAJ&hl=&source=gbs_api

註釋In this thesis we study euro area stock markets and the European banking sector. The history of the European integration process and the changes that can have an impact on asset pricing are briefly described in chapter 1. Chapter 2 explores the importance of country versus industry factors for investors in euro area stock markets. Chapter 3 concentrates on asset pricing of (portfolios of) assets. The literature in the 80's and 90's has shown that the Capital Asset Pricing Model (CAPM), the base model for asset pricing by Sharpe and Lintner, does not perfectly explain the returns of portfolios formed by characteristics like size, book-to-market ratio and other ratios. Therefore, Fama and French introduce a three-factor model (3FM), including a market factor, a size factor and a so-called value factor. One of the practical issues concerning the 3FM is whether a local version of the 3FM describes the returns just as good as a global version of the model. All attention in chapter 4 is aimed at the role of inflation risk in an international asset-pricing context. The second part of this thesis, which embodies Chapters 5 and 6, examines the European banking sector. In chapter 6 we examine the interdependence of bank equity prices during extreme events. The central theme in this thesis is the question to what extent equity markets have changed over the recent history as a consequence of the European integration process.