Tradability of output and asset return cyclicality: Evidence from Europe
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School of Business |
Bachelor's thesis
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Date
2018
Department
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Mcode
Degree programme
Rahoitus
Language
en
Pages
22+5
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Abstract
In this paper I study the effect of tradability, the proportion of firm’s output that is exported, on the business cyclicality of stock returns in EU. Based on the analysis for years 2000-2017, I find that tradable sector is more exposed to systematic risk than the non-tradable sector, but no evidence that high tradability companies are more exposed to business cycles in particular. I find that the tradability has differentiating effect on stock returns in the country level analysis, and that the tradable sector has more cyclical asset returns in France. The country-level analysis reveals different characteristics of tradability in Europe compared to U.S. markets.Description
Thesis advisor
Shin, SeanKeywords
tradability, tradability of output, asset returns, asset pricing, business cycles, cyclicality