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...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2020-06-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844020308252 |