Country, industry, and risk factor loadings in portfolio management

Journal of Portfolio Management

Volumn 28, Issue 4, 2002, Pages

  L'Her, Jean François ^a   Sy, Oumar ^a   Tnani, Mohamed Yassine ^a  

^a Caisse depot et Placement du Quebec   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036614883     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2002.319856     Document Type: Article

References (21)

1. Multifactor asset pricing analysis of international value investment strategies
2. The Rise of sector effects in major equity markets
3. The relative importance of common factors across the European equity markets
4. The increasing importance of industry factors
5. The structure of European stock returns
6. Common risk factors in the returns on stocks and bonds
7. Value versus growth: The international evidence
8. Economic integration and country allocation in Europe
9. Another look at the role of the industrial structure of markets for international diversification strategies
10. Global factors: Fact or fiction?
11. Does industrial structure explain the benefits of international diversification?
12. Industry and country effects in international stock returns
13. The structure of international stock returns and the integration of capital markets
14. Country, sector, and company factors in global equity portfolios
15. Strategy focus: Sun, sand and sectors
16. Can book-to-market, size and momentum be risk factors that predict economic growth?
17. Industrial structure and the comparative behavior of international stock market indices
18. European equity markets and the EMU
19. International momentum strategies
20. International factors of stock price behavior