Country, industry, and risk factor loadings in portfolio management

Jean François L'Her, Oumar Sy, Mohamed Yassine Tnani

Research output: Contribution to journalArticlepeer-review

42 Citations (Scopus)

Abstract

This study off international stock returns between January 1992 and December 2000 shows that, on average, country effects dominated industry effects as an explanation of the sources off stock return variation. The authors also find across-country diversification to be more efficient than diversification across industries. During this period, country effects continued to decline, however, while industry effects increased in importance so that they exceeded the country effects in 1999-2000. When four global risk factor loadings are introduced, the same trends are observed for country and industry effects. More important, global risk effects were accentuated, becoming even more significant than country and industry effects in 2000.

Original languageEnglish
Pages (from-to)70-79+6
JournalJournal of Portfolio Management
Volume28
Issue number4
DOIs
Publication statusPublished - 2002
Externally publishedYes

ASJC Scopus Subject Areas

  • Accounting
  • General Business,Management and Accounting
  • Finance
  • Economics and Econometrics

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