Allegret, Jean-Pierre; RAYMOND, Helene; rharrabti, houda - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2014
’ equity returns for 11 countries. Our data span the period December 14th 2007-March 8th 2013 that encompasses different … is twofold. First, we use an explicit multifactor model of equity returns extended with a sovereign risk factor. Second … crisis to banks’ equity returns has been confined to eurozone banks, whereas U.S. banks’ equity returns were unharmed by its …