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Country v sector effects in equity returns and the roles of geographical and firm-size coverage

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  • Lieven Moor

    ()

  • Piet Sercu

    ()

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File URL: http://hdl.handle.net/10.1007/s11187-008-9170-6
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Bibliographic Info

Article provided by Springer in its journal Small Business Economics.

Volume (Year): 35 (2010)
Issue (Month): 4 (November)
Pages: 433-448

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Handle: RePEc:kap:sbusec:v:35:y:2010:i:4:p:433-448

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Web page: http://www.springerlink.com/link.asp?id=100338

Related research

Keywords: International stock returns; World; Country; Sector; Small firms; Diversification; G11; G12; G15; L26;

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References

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  1. Bhushan, Ravi, 1989. "Firm characteristics and analyst following," Journal of Accounting and Economics, Elsevier, vol. 11(2-3), pages 255-274, July.
  2. Griffin, John M. & Andrew Karolyi, G., 1998. "Another look at the role of the industrial structure of markets for international diversification strategies," Journal of Financial Economics, Elsevier, vol. 50(3), pages 351-373, December.
  3. Forbes, Kristin & Chinn, Menzie, 2003. "A Decomposition of Global Linkages in Financial Markets over Time," Santa Cruz Department of Economics, Working Paper Series qt6z74b3x7, Department of Economics, UC Santa Cruz.
  4. Heston, Steven L. & Rouwenhorst, K. Geert, 1994. "Does industrial structure explain the benefits of international diversification?," Journal of Financial Economics, Elsevier, vol. 36(1), pages 3-27, August.
  5. Hardouvelis, Gikas A & Malliaropoulos, Dimitrios & Priestley, Richard, 1999. "EMU and European Stock Market Integration," CEPR Discussion Papers 2124, C.E.P.R. Discussion Papers.
  6. Dusan Isakov & Frédéric Sonney, 2004. "Are Practitioners Right? On the Relative Importance of Industrial Factors in International Stock Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 355-379, September.
  7. Marina Emiris, 2002. "Measuring capital market integration," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 200-221 Bank for International Settlements.
  8. Roll, Richard, 1992. " Industrial Structure and the Comparative Behavior of International Stock Market Indices," Journal of Finance, American Finance Association, vol. 47(1), pages 3-41, March.
  9. Enrique Sentana, 2002. "Did the EMS Reduce the Cost of Capital?," Economic Journal, Royal Economic Society, vol. 112(482), pages 786-809, October.
  10. Robin Brooks & Marco Del Negro, 2006. "Firm-Level Evidence on International Stock Market Comovement," Review of Finance, European Finance Association, vol. 10(1), pages 69-98.
  11. Campa, José Manuel & Fernandes, Nuno, 2004. "Sources of Gains from International Portfolio Diversification," CEPR Discussion Papers 4390, C.E.P.R. Discussion Papers.
  12. Gabriele Galati & Kostas Tsatsaronis, 2001. "The impact of the euro on Europe's financial markets," BIS Working Papers 100, Bank for International Settlements.
  13. Ehling, Paul & Ramos, Sofia B., 2006. "Geographic versus industry diversification: Constraints matter," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 396-416, October.
  14. Ozgur S. Ince & R. Burt Porter, 2006. "INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 29(4), pages 463-479.
  15. Brennan, Michael J & Hughes, Patricia J, 1991. " Stock Prices and the Supply of Information," Journal of Finance, American Finance Association, vol. 46(5), pages 1665-91, December.
  16. Beckers, Stan & Grinold, Richard & Rudd, Andrew & Stefek, Dan, 1992. "The relative importance of common factors across the European equity markets," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 75-95, February.
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Cited by:
  1. Bai, Ye & Green, Christopher J. & Leger, Lawrence, 2012. "Industry and country factors in emerging market returns: Did the Asian crisis make a difference?," Emerging Markets Review, Elsevier, vol. 13(4), pages 559-580.
  2. Pieterse-Bloem, M., 2011. "The effect of Emu on bond market integration and investor portfolio allocations," Open Access publications from Tilburg University urn:nbn:nl:ui:12-4742837, Tilburg University.

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