Country versus region effects in international stock returns

Journal of Portfolio Management

Volumn 31, Issue 4, 2005, Pages 67-72

  Brooks, Robin ^a   Del Negro, Marco ^b  

^a INTERNATIONAL MONETARY FUND   (United States)

^b FEDERAL RESERVE BANK OF ATLANTA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 24144440086     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2005.570152     Document Type: Article

References (7)

1. Brooks, Robin, and Marco Del Negro. "The Rise in Comovement across National Stock Markets: Market Integration or IT Bubble?" Journal of Empirical Finance, 11 (2004), pp. 659-680.
2. Cavaglia, Stefano, Christopher Brightman, and Michael Aked. "The Increasing Importance of Industry Factors." Financial Analysts Journal, 56 (2000), pp. 41-54.
3. Griffin, John, and Andrew Karolyi. "Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies." Journal of Financial Economics, 50 (1998), pp. 351-373.
4. Heston, Steven, and Geert Rouwenhorst. "Does Industrial Structure Explain the Benefits of International Diversification?" Journal of Financial Economics, 36 (1994), pp. 3-27.
5. _. "Industry and Country Effects in International Stock Returns." The Journal of Portfolio Management, 21 (1995), pp. 53-58.
6. L'Her, Jean-Francois, Oumar Sy, and Mohamed Yassine Tnani. "Country, Industry and Risk Factor Loadings in Portfolio Management." The Journal of Portfolio Management, 28 (2002), pp. 70-79.
7. Serra, Ana Paula. "Country and Industry Factors in Returns: Evidence from Emerging Markets' Stocks." Emerging Markets Review, 1 (2000), pp. 127-151.