A stylized fact in the portfolio diversification literature is that diversifying across countries is
more effective than diversifying across industries in terms of risk reduction. But with the rise …

Portfolio risk forecasting has been and continues to be an active research field for both
academics and practitioners. Almost all institutional investment management firms use …

The average equity risk premium (ERP) in emerging markets is well-known to be
significantly higher than in developed markets. But, key reasons for this remain unclear …

We explore the link between international stock market comovement and the extent to which
firms operate globally. Using stock returns and balance sheet data for companies in 20 …

An empirical regularity in the portfolio diversification literature is the importance of country
effects in explaining international return variation. We develop a new decomposition that …

Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series
econometrics. This book contains 16 original research contributions by some the leading …

The objective of this study is to determine the dynamics and contemporaneous interactions
of Euro stock markets at the country and economic sector level. Overall test results have …

The paper compares the dynamics of global, country and industry effects in firm level returns
between emerging and mature markets. Based on 1893 firms in MSCI global index from …

In the 1980s and early 1990s, the NASDAQ's success helped to prompt Singapore
(SESDAQ), Japan (JASDAQ), Taiwan (TAISDAQ), and South Korea (KOSDAQ) to set up or …

This paper examines the roles of country and industry effects on international equity returns
using a comprehensive database covering 50 industry groups and 34 countries over the …