Country and Industry Dynamics in Stock Returns /

A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking "pure" country and industry factors...

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Bibliographic Details
Main Author: Catao, Luis
Other Authors: Timmermann, Allan
Format: Journal
Language:English
Published: Washington, D.C. : International Monetary Fund, 2003.
Series:IMF Working Papers; Working Paper ; No. 2003/052
Online Access:Full text available on IMF