Banking and Finance
| Title: | Banking and Finance |
|---|---|
| Authors: | Emilio Grisolia; Lehman Brothers; Marco Navone; Università Bocconi; Sda Bocconi; Jel Codes G |
| Contributors: | The Pennsylvania State University CiteSeerX Archives |
| Source: | http://www.fma.org/Prague/Papers/CrossIndustry_May2008.pdf. |
| Publication Year: | 2008 |
| Collection: | CiteSeerX |
| Subject Terms: | Key words; portfolio diversification; factor models; economic integration |
| Description: | In this paper we analyze the relative importance of country and industry pure factors on the cross-section of stock returns. We show that, although the supremacy of industry factors, reported in a number of recent studies, is due to a time sample bias related to the so-called “technology bubble”, a stable change in the predictability level of pure factor returns and correlations seems to point to a more stable change in the structure of equity returns. We also introduce a regional factor and demonstrate that the vast majority of cross-country variation is, in fact, at the regional level. |
| Document Type: | text |
| File Description: | application/pdf |
| Language: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.551.8147; http://www.fma.org/Prague/Papers/CrossIndustry_May2008.pdf |
| Availability: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.551.8147; http://www.fma.org/Prague/Papers/CrossIndustry_May2008.pdf |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| Accession Number: | edsbas.40BE08FF |
| Database: | BASE |