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The relative importance of common factors across the European equity markets

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  • Beckers, Stan
  • Grinold, Richard
  • Rudd, Andrew
  • Stefek, Dan

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Suggested Citation

  • 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.
  • Handle: RePEc:eee:jbfina:v:16:y:1992:i:1:p:75-95
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    Citations

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    Cited by:

    1. Lieven Moor & Piet Sercu, 2010. "Country v sector effects in equity returns and the roles of geographical and firm-size coverage," Small Business Economics, Springer, vol. 35(4), pages 433-448, November.
    2. K. Rouwenhorst, 1998. "European Equity Markets and EMU: Are the Differences Between Countries Slowly Disappearing?," Yale School of Management Working Papers ysm103, Yale School of Management, revised 01 Aug 2000.
    3. Dolinar, Denis & Orsag, Silvije & Suman, Paola, 2015. "Test Of The Chen-Roll-Ross Macroeconomic Factor Model: Evidence From Croatian Stock Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 6(2), pages 185-196.
    4. Siv Heng Taing & Andrew C. Worthington, 2002. "Comovements among European equity sectors: Selected evidence from the consumer discretionary, consumer staples, financial, industrial and materials sectors," School of Economics and Finance Discussion Papers and Working Papers Series 116, School of Economics and Finance, Queensland University of Technology.
    5. Chan, Kam C. & Seow, Gim S., 1996. "The association between stock returns and foreign GAAP earnings versus earnings adjusted to U.S. GAAP," Journal of Accounting and Economics, Elsevier, vol. 21(1), pages 139-158, February.
    6. Kuo, Weiyu & E. Satchell, Stephen, 2001. "Global equity styles and industry effects: the pre-eminence of value relative to size," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(1), pages 1-28, March.
    7. 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.
    8. Simonne Varotto, 2001. "Credit Risk Diversification," ICMA Centre Discussion Papers in Finance icma-dp2001-07, Henley Business School, Reading University.
    9. Luis Catão & Allan Timmermann, 2003. "Country and Industry Dynamics in Stock Returns," IMF Working Papers 03/52, International Monetary Fund.
    10. Paul EHLING & Sofia B. RAMOS, 2003. "Geographical versus Industrial Diversification: A Mean Variance Spanning Approach," FAME Research Paper Series rp80, International Center for Financial Asset Management and Engineering.
    11. Marcelo, José Luis Miralles & Quirós, José Luis Miralles & Martins, José Luís, 2013. "The role of country and industry factors during volatile times," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 273-290.
    12. Julia Koralun-Bereźnicka, 2011. "Country and industry factors as determinants of corporate financial liquidity in the European Union countries," Bank i Kredyt, Narodowy Bank Polski, vol. 42(1), pages 19-48.
    13. 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.
    14. Cheung, Yin-Wong & Ng, Lilian K., 1998. "International evidence on the stock market and aggregate economic activity," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 281-296, September.
    15. Michael R. King & Dan Segal, 2003. "Valuation of Canadian- vs. U.S.-Listed Equity: Is There a Discount?," Staff Working Papers 03-6, Bank of Canada.
    16. Marie-Paule Laurent, 2003. "Indices as diversification instruments in Europe," Working Papers CEB 03-004.RS, ULB -- Universite Libre de Bruxelles.
    17. Siv Taing & Andrew Worthington, 2005. "Return relationships among European equity sectors: A comparative analysis across selected sectors in small and large economies," Journal of Applied Economics, Universidad del CEMA, vol. 8, pages 371-388, November.
    18. repec:eee:touman:v:31:y:2010:i:5:p:665-675 is not listed on IDEAS
    19. Huij, Joop & Derwall, Jeroen, 2011. "Global equity fund performance, portfolio concentration, and the fundamental law of active management," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 155-165, January.
    20. Breloer, Bernhard & Scholz, Hendrik & Wilkens, Marco, 2014. "Performance of international and global equity mutual funds: Do country momentum and sector momentum matter?," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 58-77.

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