Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies

摘要: Abstract This paper re-examines the extent to which gains from international diversification are due differences in industrial structure across countries. Recent papers by Roll (1992) , Journal of Finance 47, 3–42 and Heston Rouwenhorst (1994) Financial Economics 36, 3–27 investigate this issue find conflicting evidence. Using a new database, Dow Jones World Stock Index, with coverage 25 countries over 66 industry classifications, we decompose comprehensively both country sources variation. We confirm that little variation index returns can be explained their composition. also uncover proportion is captured factors discuss implications for global strategies.