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Paper provided by Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB) in its series Working Papers CEB with number 03-004.RS.

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Length: 39 pages
Date of creation: 2003
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Handle: RePEc:sol:wpaper:03-004

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Related research

Keywords: European integration financial markets diversification country vs. Sector effect.

Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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1. John M. Griffin, 2002. "Are the Fama and French Factors Global or Country Specific?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 15(3), pages 783-803.
2. 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. [Downloadable!] (restricted)
3. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September. [Downloadable!] (restricted)
4. William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2001. "Long-Term Global Market Correlations," Yale School of Management Working Papers ysm237, Yale School of Management. [Downloadable!]
   Other versions:
   • William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2001. "Long-Term Global Market Correlations," NBER Working Papers 8612, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • William N.Goetzmann & Lingfeng Li & K.Geert Rouwenhorst, 2003. "Long-Term Global Market Correlations," DNB Staff Reports (discontinued) 98, Netherlands Central Bank. [Downloadable!]
   • William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005. "Long-Term Global Market Correlations," Journal of Business, University of Chicago Press, vol. 78(1), pages 1-38, January. [Downloadable!]
5. François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04. [Downloadable!] (restricted)
6. K. Geert Rouwenhorst & Steve L. Heston & Roberto E. Wessels, 1998. "The Role of Beta and Size in the Cross-section of European Stock Returns," Yale School of Management Working Papers ysm86, Yale School of Management. [Downloadable!]
7. Kempa, Bernd & Nelles, Michael, 2001. "International Correlations and Excess Returns in European Stock Markets: Does EMU Matter?," Applied Financial Economics, Taylor and Francis Journals, vol. 11(1), pages 69-73, February. [Downloadable!] (restricted)
8. Kenneth R. French & James M. Poterba, 1991. "Investor Diversification and International Equity Markets," NBER Working Papers 3609, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • French, Kenneth R & Poterba, James M, 1991. "Investor Diversification and International Equity Markets," American Economic Review, American Economic Association, vol. 81(2), pages 222-26, May. [Downloadable!] (restricted)
9. Griffin, John M. & Andrew Karolyi, G., 1998. "Another look at the role of the industrial structure of markets for international diversification strategies1," Journal of Financial Economics, Elsevier, vol. 50(3), pages 351-373, December. [Downloadable!] (restricted)
   Other versions:
   • John M. Griffin & G. Andrew Karolyi, . "Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies," Research in Financial Economics 9608, Ohio State University. [Downloadable!]
10. Foort HAMELINK, & Hélène HARASTY & Pierre HILLION, 2001. "Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? An Empirical Investigation from 1990-2001," FAME Research Paper Series rp35, International Center for Financial Asset Management and Engineering. [Downloadable!]
11. 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. [Downloadable!] (restricted)
12. Griffin, John M & Stulz, Rene M, 2001. "International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 14(1), pages 215-41.
    Other versions:
    • John M. Griffin & Rene M. Stulz, 1997. "International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns," NBER Working Papers 6243, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
13. 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. [Downloadable!] (restricted)
14. Lessard, Donald R, 1974. "World, National, and Industry Factors in Equity Returns," Journal of Finance, American Finance Association, vol. 29(2), pages 379-91, May. [Downloadable!] (restricted)
15. G. Andrew Karolyi & Rene M. Stulz, 2002. "Are Financial Assets Priced Locally or Globally?," NBER Working Papers 8994, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Karolyi, G. Andrew & Stulz, Rene M., 2003. "Are financial assets priced locally or globally?," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 16, pages 975-1020 Elsevier. [Downloadable!] (restricted)

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