Three Essays on Empirical Asset Pricing in International Equity Markets

Download or read book Three Essays on Empirical Asset Pricing in International Equity Markets written by Birgit Charlotte Müller and published by Springer Gabler. This book was released on 2021-08-20 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this Open-Access-book three essays on empirical asset pricing in international equity markets are presented. Despite being of fundamental economic and scientific importance, international financial markets have remained considerably underresearched until today. In the first essay, the role of firm-specific characteristics is analyzed for the momentum effect to exist in international equity markets. The second essay investigates the validity, persistence, and robustness of the newly discovered capital share growth factor across international equity markets as proposed by Lettau et al. (2019) for the U.S. market. Lastly, the third and final essay studies stock market reactions of European vendor banks to distressed loan sale announcements.