Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - C.E.P.R. Discussion Papers - 2011
Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity … portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining … transmission of the crisis to the extent of global exposure. Instead, we confirm the old "wake-up call" hypothesis, with markets …