Sources of return in global investing

Journal of Portfolio Management

Volumn 31, Issue 2, 2005, Pages 12-21

  Puchkov, Anton V ^a   Stefek, Dan ^a   Davis, Mark ^a  

^a MSCI Barra Inc   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 14544271364     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2005.470575     Document Type: Article

References (15)

1. Ankrim, Ernest M., and Zhuanxin Ding. "Cross-Sectional Volatility and Return Dispersion." Financial Analysts Journal, vol. 58 (2002).
2. Baca, Scan, Brian Garbe, and Richard Weiss. "The Rise of Sector Effects in Major Equity Markets." Financial Analysts Journal, vol. 56 (2000).
3. Brooks, Robin, and Marco Del Negro. "The Rise in Comovement across National Stock Markets: Market Integration or IT Bubble." Working paper 2002-17a, Federal Reserve Bank of Atlanta, 2002.
4. Cavaglia, Stefano, Christopher Brightman, and Michael Aked. "The Increasing Importance of Industry Factors." Financial Analysts Journal, vol. 56 (2000).
5. Cavaglia, Stefano, and Vadim Moroz. "Cross-Industry, Cross-Country Allocation." Financial Analysts Journal, vol. 58 (2002).
6. Griffin, J.M., and G.A. Karolyi. "Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies. "Journal of Financial Economics, vol. 50 (1998).
7. Grinold, Richard, Andrew Rudd, and Dan Stefek. "Global Factors: Fact or Fiction?" The Journal of Portfolio Management, Fall 1989.
8. Hamelink, Foort, Hélène Harasty, and Pierre Million. "Country, Sector or Style: What Matters Most When Considering Global Equity Portfolios." Lombard Odier, 2001.
9. L'Her, Jean-François, Oumar Sy, and Mohamed Yassine Tnani. "Country, Industry, and Risk Factor Loading in Portfolio Management." The Journal of Portfolio Management, Summer 2002.
10. Heston, Steven L., and K. Geert Rouwenhorst. "Does Industrial Structure Explain the Benefits of International Diversification?" Journal of Financial Economics, vol. 36 (1994).
11. _. "Industry and Country Effects in International Stock Returns." The Journal of Portfolio Management, Spring 1995.
12. Kritzman, Mark, and Sébastien Page. "The Hierarchy of Investment Choice." The Journal of Portfolio Management, Summer 2003.
13. Rouwenhorst, K. Geert. "European Equity Markets and the EMU." Financial Analysts Journal, vol. 55 (1999).
14. Scowcroft, Alan, and James Sefton. "Understanding Risk: A New Global Country-Sector Model." UBS Warburg, 2002.
15. Stefek, Dan. "The Barra Integrated Model." Barra Research Insights, 2002.