BEKAERT, GEERT; EHRMANN, MICHAEL; FRATZSCHER, MARCEL; … - In: Journal of Finance 69 (2014) 6, pp. 2597-2649
type="main" <title type="main">ABSTRACT</title> <p>We analyze the transmission of the 2007 to 2009 financial crisis to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find...</p>