Are practitioners right? On the relative importance of industrial factors in international stock returns
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- 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.
References listed on IDEAS
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Citations
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Cited by:
- 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.
- Lieven L. de Moor & Piet Sercu, 2010. "Country v sector effects in equity returns and the roles of geographical and firm-size coverage," ULB Institutional Repository 2013/191025, ULB -- Universite Libre de Bruxelles.
- Kpate ADJAOUTE & Jean-Pierre DANTHINE, 2004. "Equity Returns and Integration: Is Europe Changing?," FAME Research Paper Series rp117, International Center for Financial Asset Management and Engineering.
- De Moor, Lieven & Sercu, Piet, 2011. "Country versus sector factors in equity returns: The roles of non-unit exposures," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 64-77, January.
- Apergis, Nicholas & Christou, Christina & Miller, Stephen M., 2014.
"Country and industry convergence of equity markets: International evidence from club convergence and clustering,"
The North American Journal of Economics and Finance,
Elsevier, vol. 29(C), pages 36-58.
- Nicholas Apergis & Christina Christou & Stephen M. Miller, 2010. "Country and Industry Convergence of Equity Markets: International Evidence from Club Convergence and Clustering," Working papers 2010-33, University of Connecticut, Department of Economics, revised Jul 2012.
- Nicholas Apergis & Christina Christou & Stephen M. Miller, 2011. "Country and Industry Convergence of Equity Markets: International Evidence from Club Convergence and Clustering," Working Papers 1105, University of Nevada, Las Vegas , Department of Economics.
- 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.
- Paul EHLING & Sofia B. RAMOS, 2004. "Geographic Versus Industry Diversification: Contraints Matter," FAME Research Paper Series rp113, International Center for Financial Asset Management and Engineering.
- Ehling, Paul & Ramos, Sofia Brito, 2005. "Geographic versus industry diversification: constraints matter," Working Paper Series 425, European Central Bank.
- Philip Lane & Sébastien Wälti, 2006. "The Euro and Financial Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp139, IIIS.
- José G. Dias & Sofia B. Ramos, 2015. "An Analysis of Industry Regimes Synchronization in the Eurozone," Journal of Common Market Studies, Wiley Blackwell, vol. 53(2), pages 255-273, March.
- 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.
- 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.
- 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.
- Balli, Faruk & Balli, Hatice O., 2011.
"Sectoral equity returns in the Euro region: Is there any room for reducing portfolio risk?,"
Journal of Economics and Business,
Elsevier, vol. 63(2), pages 89-106.
- Balli, Faruk & Balli, Hatice O., 2011. "Sectoral equity returns in the Euro region: Is there any room for reducing portfolio risk?," Journal of Economics and Business, Elsevier, vol. 63(2), pages 89-106, March.
- Moerman, Gerard A., 2008. "Diversification in euro area stock markets: Country versus industry," Journal of International Money and Finance, Elsevier, vol. 27(7), pages 1122-1134, November.
- Hatice Ozer Balli & Faruk Balli & Rosmy Jean Louis, 2013. "Time-Varying Spillover Effects on Sectoral Equity Returns," International Review of Finance, International Review of Finance Ltd., vol. 13(1), pages 67-91, March.
- Eiling, Esther & Gerard, Bruno & Hillion, Pierre & de Roon, Frans A., 2012. "International portfolio diversification: Currency, industry and country effects revisited," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1249-1278.
- Hon, Mark T. & Strauss, Jack K. & Yong, Soo-Keong, 2007. "Deconstructing the Nasdaq bubble: A look at contagion across international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 213-230, July.
- Bolliger, Guido, 2004. "The characteristics of individual analysts' forecasts in Europe," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2283-2309, September.
- Moerman, G.A., 2005. "How Domestic is the Fama and French Three-Factor Model? An Application to the Euro Area," ERIM Report Series Research in Management ERS-2005-035-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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Keywords
International stock markets; industries; global factors; diversification;JEL classification:
- F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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