[BOOK][B] Portfolio risk analysis

G Connor, LR Goldberg, RA Korajczyk - 2010 - books.google.com
Portfolio risk forecasting has been and continues to be an active research field for both
academics and practitioners. Almost all institutional investment management firms use …

The importance of industry and country effects in the EMU equity markets

MA Ferreira, MA Ferreira - European Financial Management, 2006 - Wiley Online Library
Most empirical studies find that country effects are larger than industry effects in stock
returns, although industry effects have gained in importance recently. Our results support the …

Geographic versus industry diversification: Constraints matter

P Ehling, SB Ramos - Journal of Empirical Finance, 2006 - Elsevier
This research addresses whether geographic diversification provides benefits over industry
diversification in the Eurozone. Our contribution is to show that in the absence of constraints …

Region vs. industry effects and volatility transmission

P Soriano, F Climent - Financial Analysts Journal, 2006 - Taylor & Francis
This article presents an analysis of the relative importance of region versus industry effects
in stock returns, as opposed to the extensively analyzed country versus industry effects. The …

American equity mutual funds in European markets: Hot hands phenomenon and style analysis

S Papadamou, C Siriopoulos - International Journal of Finance …, 2004 - Wiley Online Library
We studied empirically American no‐load equity mutual funds that invest in European stocks
and keep their managers for more than three years, in order to investigate the persistence of …

Is country diversification better than industry diversification?

K Hargis, J Mei - European financial management, 2006 - Wiley Online Library
In this paper, we develop a framework in which one can examine the source of industry and
country diversification by examining their underlying return components. We find that the …

[BOOK][B] Country, sector, and company factors in global equity portfolios

PJB Hopkins, CH Miller - 2001 - rpc.cfainstitute.org
We address two fundamental questions for active managers of international equity portfolios.
First, how important have sectors and industries become relative to countries? Second, how …

Robust factor analysis parameter estimation

R Zhou, J Liu, S Kumar, DP Palomar - … Revised Selected Papers, Part II 17, 2020 - Springer
This paper considers the problem of robustly estimating the parameters of a heavy-tailed
multivariate distribution when the covariance matrix is known to have the structure of a low …

Analyst forecast revisions and asset allocation in Asia-Pacific markets

M Chang, I Dallas, J Ng - Journal of Multinational Financial Management, 2002 - Elsevier
An indicator derived from analyst forecast revisions was used to investigate the relationship
between revisions and subsequent stock returns in 15 Asia-Pacific markets. From an …

The cross-sectional variability of stock-price returns: Country and sector effects revisited

M Steliaros, DC Thomas - Journal of Asset Management, 2006 - Springer
This paper investigates the impact of countries and sectors as variables in explaining the
cross-sectional variability of price returns for a sample of over 1,900 companies comprising …