Equity Returns and Integration: Is Europe Changing?
分析了金融和经济一体化对欧洲股票市场的影响，发现宏观经济活动同步性增强、资本成本下降、股票溢价趋同，且国家和行业收益相关性上升，分散化投资机会减少。
This paper analyses the consequences of the process of financial and economic integration on European equity markets. It documents significant changes in ‘fundamentals’, notably an increased synchronization of macroeconomic activities, and a non-negligible evolution in pricing, with a decrease in the cost of capital and converging equity premiums. As to equity returns themselves, in the face of what could turn out to be long-run upward trends in the correlations among both country and sector returns and a narrowing of the superiority of country factors, the benefits to be gained from finding diversification opportunities at a more disaggregated level appear to be higher than ever.