PT - JOURNAL ARTICLE AU - Gregg S. Fisher AU - Ronnie Shah AU - Sheridan Titman TI - Should You Tilt Your Equity Portfolio to Smaller Countries? AID - 10.3905/jpm.2017.44.1.127 DP - 2017 Oct 31 TA - The Journal of Portfolio Management PG - 127--141 VI - 44 IP - 1 4099 - https://pm-research.com/content/44/1/127.short 4100 - https://pm-research.com/content/44/1/127.full AB - In this article, the authors examine the relationship between country size, measured as the aggregate market capitalization of the listed stocks in a country, and individual stock returns. They find that stocks from small countries tend to have higher average returns than stocks from large countries. The country size effect is largely independent of the firm size effect and other country quantitative factors such as book/market and momentum. The authors conjecture that the country size effect is due to home bias and provide mixed evidence in support of this conjecture.TOPICS: Fundamental equity analysis, analysis of individual factors/risk premia, emerging