PT - JOURNAL ARTICLE AU - Robin Brooks AU - Marco Del Negro TI - Country versus Region Effects in International Stock Returns AID - 10.3905/jpm.2005.570152 DP - 2005 Jul 31 TA - The Journal of Portfolio Management PG - 67--72 VI - 31 IP - 4 4099 - https://pm-research.com/content/31/4/67.short 4100 - https://pm-research.com/content/31/4/67.full AB - An empirical regularity in the portfolio diversification literature is the importance of country effects in explaining international return variation. A new decomposition here disaggregates these country effects into region effects and within-region country effects. Half of the return variation typically attributed to country effects seems attributable actually to region effects, a result robust across developed and emerging markets; the remaining variation is explained by within-region country effects. For the average investor, this means that diversifying across countries within Europe, for example, delivers half the risk reduction possible from diversifying across regions globally.