The Relative Strengths of Industry and Country Factors in Global Equity Markets, April 2011

摘要: We investigate the relative strength of industry versus country effects in global equity markets during sample period 1994-2010. In particular, we examine three market segments: (a) world market, (b) emerging markets, and (c) developed Europe. employ a factor-based approach to construct portfolios that capture “pure” effect each or country, measure two effects. For find are comparable strength, although dominates different sub-periods. countries have dominated industries entire period. Europe, by contrast, since introduction euro. also size dependency small-cap segment, become weaker, whereas retain their full strength.